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Volatility Forecast Evaluation and Comparison Using Imperfect Volatility Proxies · Study

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PreprintVolatility Forecast Evaluation and Comparison Using Imperfect Volatility Proxies

Andrew J. Patton2005

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Preprintgreen2005

Volatility Forecast Evaluation and Comparison Using Imperfect Volatility Proxies

Andrew J. Patton

71 citations·0/0 files stored·SSRN Electronic Journal

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

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1994Comparing Predictive Accuracy 2003Modeling and Forecasting Realized Volatility 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2001The distribution of realized stock return volatility 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2001The Distribution of Realized Exchange Rate Volatility

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2015Forecasting realized volatility: HAR against Principal Components Combining, neural networks and GARCH 2006A note on the importance of overnight information in risk management models 2009Multi-Period Forecasts of Volatility: Direct, Iterated, and Mixed-Data Approaches 2011Automated Model Selection in Finance: General‐to‐Specific Modelling of the Mean and Volatility Specifications*2009Sequential conditional correlations: Inference and evaluation

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Details

Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations71

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.675322

openalex_workW60950446

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