search query: @indexterm STOCHASTIC PROCESSES / total: 546
reference: 9 / 546
| Author: | Andersen, T.G. Bollerslev, T. Meddahi, N. |
| Title: | Analytical evaluation of volatility forecasts |
| Journal: | International Economic Review
2004 : NOV, VOL. 45:4, p. 1079-1110 |
| Index terms: | Economic forecasting Stochastic processes Volatility |
| Language: | eng |
| Abstract: | Estimation and forecasting for realistic continuous-time stochastic volatility models is hampered by the lack of closed-form expressions for the likelihood. In response, Andersen, Bollerslev, Diebold and Labys (Econometrica, 2003) advocate forecasting integrated volatility via reduced-form models for the realized volatility, constructed by summing high-frequency squared units. This study builds on the eigenfunction stochastic models and presents analytical expressions for the forecast efficiency associated with this reduced-form approach as a function of sampling frequency. |
SCIMA