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Search: subject:"term structure of density forecasts"
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term structure of density forecasts
2
RV
1
Realized Volatility
1
Stochastic Volatility
1
multiperiod
1
multiperiod out-of-sample prediction
1
observable SV
1
out-of-sample
1
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Free
2
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English
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Maheu, John M
1
Maheu, John M.
1
McCurdy, Thomas H
1
McCurdy, Thomas H.
1
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Rimini Centre for Economic Analysis (RCEA)
1
University of Toronto, Department of Economics
1
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Working Paper Series / Rimini Centre for Economic Analysis (RCEA)
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Working Papers / University of Toronto, Department of Economics
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RePEc
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Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?
Maheu, John M.
;
McCurdy, Thomas H.
-
Rimini Centre for Economic Analysis (RCEA)
-
2009
horizons of 1 to 60 days out of sample. This
term
structure
of
density
forecasts
is used to investigate the importance of: the …
Persistent link: https://www.econbiz.de/10008469827
Saved in:
2
Do high-frequency measures of volatility improve forecasts of return distributions?
Maheu, John M
;
McCurdy, Thomas H
-
University of Toronto, Department of Economics
-
2008
forecasts over horizons of 1 to 60 days out of sample. This
term
structure
of
density
forecasts
is used to investigate the …
Persistent link: https://www.econbiz.de/10005771673
Saved in:
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