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ArticlePredictive density estimators for daily volatility based on the use of realized measures

Valentina Corradi2009

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Articlegreen2009

Predictive density estimators for daily volatility based on the use of realized measures

Valentina Corradi · Walter Distaso · Norman Rasmus Swanson

27 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Forecasting Techniques and Applications

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References

2007Brownian Motion and Stochastic Calculus 2003Modeling and Forecasting Realized Volatility 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2001The Distribution of Realized Exchange Rate Volatility 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 2005A Tale of Two Time Scales

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2011Predictive Inference for Integrated Volatilityarticle · 23 shared references 2009Assessing Market Microstructure Effects via Realized Volatility Measures with an Application to the Dow Jones Industrial Average Stocksarticle · 20 shared references 2006Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measuresarticle · 19 shared references 2012Forecasting Volatility Using High-Frequency Datachapter · 18 shared references 2010Data-based ranking of realised volatility estimatorsarticle · 17 shared references 2003Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatilitypreprint · 17 shared references

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Year2009

Typearticle

Published2009-01-09

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations27

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2008.12.015

openalex_workW2103194941

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