Realized volatility forecasting : Robustness to measurement errors
Fabrizio Cipollini, Giampiero M. Gallo, Edoardo Otranto
| Year of publication: |
2021
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|---|---|
| Authors: | Cipollini, Fabrizio ; Gallo, Giampiero M. ; Otranto, Edoardo |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 37.2021, 1, p. 44-57
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| Subject: | Realized volatility | Forecasting | Measurement errors | HAR | AMEM | Markov switching | Volatility of volatility | MCS | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Statistischer Fehler | Statistical error | Markov-Kette | Markov chain | Schätztheorie | Estimation theory | Schätzung | Estimation | Kapitaleinkommen | Capital income |
| Description of contents: | Description [doi.org] |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Erratum enthalten in: Volume 37, issue 3 (July/September 2021), Seite 1317-1318 |
| Other identifiers: | 10.1016/j.ijforecast.2020.02.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012692572