Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
Torben Andersen (),
Tim Bollerslev () and
Econometrica, 2005, vol. 73, issue 1, 279-296
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. Copyright The Econometric Society 2005.
References: Add references at CitEc
Citations: View citations in EconPapers (163) Track citations by RSS feed
Downloads: (external link)
http://hdl.handle.net/10.1111/j.1468-0262.2005.00572.x link to full text (text/html)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ecm:emetrp:v:73:y:2005:i:1:p:279-296
Ordering information: This journal article can be ordered from
https://www.economet ... ordering-back-issues
Access Statistics for this article
Econometrica is currently edited by Guido Imbens
More articles in Econometrica from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().