Volatility forecast comparison using imperfect volatility proxiesAndrew J. Patton2010-03-09articleJournal of Econometrics1,281 citationsgreenNo readable copy stored yet — this record is metadata only.Financial Risk and Volatility ModelingStochastic processes and financial applicationsForecasting Techniques and ApplicationsAbstractNo abstract was published for this record.Citations in this libraryStored only when both papers are in the corpus — 1,281 citations exist upstream.References2003Modeling and Forecasting Realized Volatility1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts2001The distribution of realized stock return volatility2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models1980The Extreme Value Method for Estimating the Variance of the Rate of Return1994Autoregressive conditional heteroskedasticity and changes in regime2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?2006Tests of Conditional Predictive AbilityCited by2014The VIX, the variance premium and stock market volatility2015Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility2012Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes2010Threshold bipower variation and the impact of jumps on volatility forecasting2006Why Do Absolute Returns Predict Volatility So Well?2018Risk Everywhere: Modeling and Managing Volatility2015Can Internet Search Queries Help to Predict Stock Market Volatility?2013Forecasting carbon futures volatility using GARCH models with energy volatilities