Volatility forecasts evaluation and comparison: Volatility forecasts evaluation and comparison
暂无分享,去创建一个
[1] Andrew A. Weiss,et al. Asymptotic Theory for ARCH Models: Estimation and Testing , 1986, Econometric Theory.
[2] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .
[3] Halbert White,et al. Tests of Conditional Predictive Ability , 2003 .
[4] On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models , 2009 .
[5] Torben G. Andersen,et al. Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities , 2005 .
[6] J. Wooldridge,et al. Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances , 1992 .
[7] P. Hansen,et al. Consistent Ranking of Volatility Models , 2006 .
[8] Neil Shephard,et al. Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise , 2008 .
[9] Todd E. Clark,et al. Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis , 2004 .
[10] Anil K. Bera,et al. A Class of Nonlinear ARCH Models , 1992 .
[11] Michael W. McCracken. Robust out-of-sample inference , 2000 .
[12] H. White,et al. A Reality Check for Data Snooping , 2000 .
[13] M. J. Klass,et al. On the Estimation of Security Price Volatilities from Historical Data , 1980 .
[14] Norman R. Swanson,et al. Predictive ability with cointegrated variables , 2001 .
[15] Todd E. Clark,et al. Tests of Equal Forecast Accuracy and Encompassing for Nested Models , 1999 .
[16] Michael W. McCracken. Asymptotics for out of sample tests of Granger causality , 2007 .
[17] Tim Bollerslev,et al. Volatility and Time Series Econometrics , 2010 .
[18] Francis X. Diebold,et al. Modeling and Forecasting Realized Volatility , 2001 .
[19] Todd E. Clark,et al. Nested Forecast Model Comparisons: A New Approach to Testing Equal Accuracy , 2009 .
[20] N. Shephard,et al. Estimating quadratic variation using realized variance , 2002 .
[21] M. Parkinson. The Extreme Value Method for Estimating the Variance of the Rate of Return , 1980 .
[22] K. West,et al. Asymptotic Inference about Predictive Ability , 1996 .
[23] R. Engle. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .
[24] Lan Zhang,et al. A Tale of Two Time Scales , 2003 .
[25] T. Bollerslev,et al. ANSWERING THE SKEPTICS: YES, STANDARD VOLATILITY MODELS DO PROVIDE ACCURATE FORECASTS* , 1998 .
[26] Todd E. Clark,et al. Evaluating Direct Multistep Forecasts , 2005 .
[27] Peter Reinhard Hansen,et al. The Model Confidence Set , 2010 .
[28] Todd E. Clark,et al. Approximately Normal Tests for Equal Predictive Accuracy in Nested Models , 2005 .