Volatility Forecast Evaluation and Comparison Using Imperfect Volatility Proxies
暂无分享,去创建一个
[1] W. Feller. The Asymptotic Distribution of the Range of Sums of Independent Random Variables , 1951 .
[2] H. Theil,et al. Economic Forecasts and Policy. , 1959 .
[3] M. Parkinson. The Extreme Value Method for Estimating the Variance of the Rate of Return , 1980 .
[4] M. J. Klass,et al. On the Estimation of Security Price Volatilities from Historical Data , 1980 .
[5] R. Engle. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .
[6] C. Gouriéroux,et al. PSEUDO MAXIMUM LIKELIHOOD METHODS: THEORY , 1984 .
[7] Walter N. Torous,et al. The Maximum Likelihood Estimation of Security Price Volatility: Theory, Evidence, and Application to Option Pricing , 1984 .
[8] W. Newey,et al. A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix , 1986 .
[9] Consistent M-estimators in a Semi-parametric model (1), no. 8720 , 1987 .
[10] Herman J. Bierens,et al. A consistent conditional moment test of functional form , 1990 .
[11] Daniel B. Nelson. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH , 1991 .
[12] K. West,et al. A Utility Based Comparison of Some Models of Exchange Rate Volatility , 1992 .
[13] Michael P. Clements,et al. On the limitations of comparing mean square forecast errors , 1993 .
[14] Halbert White,et al. Estimation, inference, and specification analysis , 1996 .
[15] Yogendra P. Chaubey. Resampling-Based Multiple Testing: Examples and Methods for p-Value Adjustment , 1993 .
[16] F. Diebold,et al. Comparing Predictive Accuracy , 1994, Business Cycles.
[17] Eric Ghysels,et al. Periodic Autoregressive Conditional Heteroskedasticity , 1996 .
[18] K. West,et al. Asymptotic Inference about Predictive Ability , 1996 .
[19] F. Diebold,et al. Forecast Evaluation and Combination , 1996 .
[20] Philippe Jorion. Predicting Volatility in the Foreign Exchange Market , 1995 .
[21] Robert M. de Jong,et al. THE BIERENS TEST UNDER DATA DEPENDENCE , 1996 .
[22] D. Duffie,et al. An Overview of Value at Risk , 1997 .
[23] Francis X. Diebold,et al. Elements of Forecasting , 1997 .
[24] David I. Harvey. The evaluation of economic forecasts , 1997 .
[25] F. Diebold,et al. Optimal Prediction Under Asymmetric Loss , 1994, Econometric Theory.
[26] Herman J. Bierens,et al. Asymptotic Theory of Integrated Conditional Moment Tests , 1997 .
[27] T. Bollerslev,et al. ANSWERING THE SKEPTICS: YES, STANDARD VOLATILITY MODELS DO PROVIDE ACCURATE FORECASTS* , 1998 .
[28] Tim Bollerslev,et al. High Frequency Data, Frequency Domain Inference and Volatility Forecasting , 1999 .
[29] Clive W. J. Granger. Outline of forecast theory using generalized cost functions , 1999 .
[30] T. Bollerslev,et al. Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon , 1999 .
[31] N. Shephard,et al. Econometric analysis of realised volatility and its use in estimating stochastic volatility models , 2000 .
[32] H. White,et al. A Reality Check for Data Snooping , 2000 .
[33] A. McNeil,et al. Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach , 2000 .
[34] Andrew J. Patton,et al. What good is a volatility model? , 2001 .
[35] Francis X. Diebold,et al. Modeling and Forecasting Realized Volatility , 2001 .
[36] Michael W. Brandt,et al. Range-Based Estimation of Stochastic Volatility Models , 2001 .
[37] F. Diebold,et al. The Distribution of Realized Exchange Rate Volatility , 2000 .
[38] F. Diebold,et al. The distribution of realized stock return volatility , 2001 .
[39] T. Bollerslev,et al. Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities , 2002 .
[40] Peter Christoffersen,et al. Série Scientifique Scientific Series the Importance of the Loss Function in Option Valuation the Importance of the Loss Function in Option Valuation , 2022 .
[41] N. Shephard,et al. Econometric analysis of realized volatility and its use in estimating stochastic volatility models , 2002 .
[42] N. Shephard,et al. Estimating quadratic variation using realized variance , 2002 .
[43] N. Shephard,et al. Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics , 2004 .
[44] Halbert White,et al. Tests of Conditional Predictive Ability , 2003 .
[45] Forecasting Volatility in Financial Markets , 2003 .
[46] P. Hansen,et al. Consistent Ranking of Volatility Models , 2006 .
[47] P. Hansen,et al. A Forecast Comparison of Volatility Models: Does Anything Beat a Garch(1,1)? , 2004 .
[48] Andrew J. Patton,et al. Testable Implications of Forecast Optimality , 2004 .
[49] S. Satchell,et al. Forecast Evaluation in the Presence of Unobserved Volatility , 2005 .
[50] Norman R. Swanson,et al. Predictive Density Evaluation , 2005 .
[51] Michael P. Clements. Evaluating Econometric Forecasts of Economic and Financial Variables , 2005 .
[52] Torben G. Andersen,et al. Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities , 2005 .
[53] Ioanid Roşu. Graduate School of Business University of Chicago , 2005 .
[54] Allan Timmermann,et al. Estimation and Testing of Forecast Rationality under Flexible Loss , 2005 .
[55] F. Diebold,et al. VOLATILITY AND CORRELATION FORECASTING , 2006 .
[56] Andrew J. Patton,et al. Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity , 2007 .