Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities

dc.contributor.author

Andersen, TG

dc.contributor.author

Bollerslev, T

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Meddahi, N

dc.date.accessioned

2010-03-09T15:27:02Z

dc.date.issued

2005-01-01

dc.description.abstract

We develop general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit recent nonparametric asymptotic distributional results, are both easy-to-implement and highly accurate in empirically realistic situations. We also illustrate that properly accounting for the measurement errors in the volatility forecast evaluations reported in the existing literature can result in markedly higher estimates for the true degree of return volatility predictability.

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application/pdf

dc.identifier.issn

0012-9682

dc.identifier.uri

https://hdl.handle.net/10161/1872

dc.language.iso

en_US

dc.publisher

The Econometric Society

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Econometrica

dc.title

Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities

dc.type

Journal article

pubs.begin-page

279

pubs.end-page

296

pubs.issue

1

pubs.organisational-group

Duke

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Economics

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Trinity College of Arts & Sciences

pubs.publication-status

Published

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73

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