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ArticleAsymptotic inference about predictive accuracy using high frequency data

Jia Li2018

OA

Articlebronze2018

Asymptotic inference about predictive accuracy using high frequency data

Jia Li · Andrew J. Patton

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

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Financial Risk and Volatility Modeling Forecasting Techniques and Applications Statistical Methods and Inference

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002Dynamic Conditional Correlation 1994Comparing Predictive Accuracy 1995Comparing Predictive Accuracy 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 2003Modeling and Forecasting Realized Volatility

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Year2018

Typearticle

Published2018-01-30

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations28

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2017.10.005

openalex_workW3122840332

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