Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities
Publication
, Journal Article
Andersen, TG; Bollerslev, T; Meddahi, N
Published in: Econometrica
January 1, 2005
We develop general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit recent nonparametric asymptotic distributional results, are both easy-to-implement and highly accurate in empirically realistic situations. We also illustrate that properly accounting for the measurement errors in the volatility forecast evaluations reported in the existing literature can result in markedly higher estimates for the true degree of return volatility predictability.
Duke Scholars
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Published In
Econometrica
DOI
ISSN
0012-9682
Publication Date
January 1, 2005
Volume
73
Issue
1
Start / End Page
279 / 296
Related Subject Headings
- Econometrics
- 3803 Economic theory
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 1401 Economic Theory
Citation
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Chicago
ICMJE
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Andersen, T. G., Bollerslev, T., & Meddahi, N. (2005). Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities. Econometrica, 73(1), 279–296. https://doi.org/10.1111/j.1468-0262.2005.00572.x
Andersen, T. G., T. Bollerslev, and N. Meddahi. “Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities.” Econometrica 73, no. 1 (January 1, 2005): 279–96. https://doi.org/10.1111/j.1468-0262.2005.00572.x.
Andersen TG, Bollerslev T, Meddahi N. Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities. Econometrica. 2005 Jan 1;73(1):279–96.
Andersen, T. G., et al. “Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities.” Econometrica, vol. 73, no. 1, Jan. 2005, pp. 279–96. Scopus, doi:10.1111/j.1468-0262.2005.00572.x.
Andersen TG, Bollerslev T, Meddahi N. Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities. Econometrica. 2005 Jan 1;73(1):279–296.
Published In
Econometrica
DOI
ISSN
0012-9682
Publication Date
January 1, 2005
Volume
73
Issue
1
Start / End Page
279 / 296
Related Subject Headings
- Econometrics
- 3803 Economic theory
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 1401 Economic Theory