Article2011

Predictive Inference for Integrated Volatility

Valentina Corradi · Walter Distaso · Norman Rasmus Swanson

29 citations0/0 files storedJournal of the American Statistical Association

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

Numerous volatility-based derivative products have been engineered in recent years. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this article we propose nonparametric estimators of the aforementioned quantities, based on model-free volatility estimators. We establish consistency and asymptotic normality for the feasible estimators and study their finite-sample properties through a Monte Carlo experiment. Finally, using data from the New York Stock Exchange, we provide an empirical application to volatility directional predictability.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 29 citations exist upstream.

References

2003Modeling and Forecasting Realized Volatility 1989Why Does Stock Market Volatility Change Over Time?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 1998Evaluating Density Forecasts with Applications to Financial Risk Management 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data 2005A Tale of Two Time Scales

Cited by

2018Asymptotic inference about predictive accuracy using high frequency data 2011Financial Volatility Forecasting by Nonlinear Support Vector Machine Heterogeneous Autoregressive Model: Evidence from Nikkei 225 Stock Index 2013Realized Volatility Forecasting in the Presence of Time-Varying Noise 2011Volatility in Discrete and Continuous-Time Models: A Survey with New Evidence on Large and Small Jumps

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.