haku: @indexterm ECONOMIC FORECASTING / yhteensä: 665
viite: 8 / 665
| Tekijä: | Andersen, T.G. Bollerslev, T. Meddahi, N. |
| Otsikko: | Analytical evaluation of volatility forecasts |
| Lehti: | International Economic Review
2004 : NOV, VOL. 45:4, p. 1079-1110 |
| Asiasana: | Economic forecasting Stochastic processes Volatility |
| Kieli: | eng |
| Tiivistelmä: | 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. |
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