Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
Year of publication: |
2011-03-05
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Authors: | Corradi, Valentina ; Swanson, Norman R. |
Institutions: | HAL |
Subject: | Block bootstrap | Diffusion processes | Jumps | Nonparametric simulated quasi maximum likelihood | Parameter estimation error | Recursive estimation | Stochastic volatility |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00796745 Published, Journal of Econometrics, 2011, 161, 2, 304 |
Source: |
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Corradi, Valentina, (2011)
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Corradi, Valentina, (2011)
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Swanson, Norman R., (2011)
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Corradi, Valentina, (2011)
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Predictive density estimators for daily volatility based on the use of realized measures
Corradi, Valentina, (2009)
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A simulation-based specification test for diffusion processes
Bhardwaj, Geetesh, (2008)
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