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Analytic Evaluation of Volatility Forecasts

Torben Andersen (), Tim Bollerslev () and Nour Meddahi

CIRANO Working Papers from CIRANO

Keywords: Continuous-time models; eigenfunction stochastic volatility models; integrated volatility; realized volatility; high-frequency data; time series forecasting; Mincer-Zarnowitz regressions, modèles à temps continu; modèles à volatilité stochastique basée sur des fonctions propres; volatilité intégrée, volatilité réalisée; données à haute fréquence; prévision de séries chronologiques; régressions de Mincer-Zarnowitz (search for similar items in EconPapers)
JEL-codes: C22 C52 G12 G13 (search for similar items in EconPapers)
Date: 2002-12-01
New Economics Papers: this item is included in nep-cfn, nep-ecm, nep-ets, nep-fin, nep-fmk and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14) Track citations by RSS feed

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https://cirano.qc.ca/files/publications/2002s-90.pdf

Related works:
Journal Article: ANALYTICAL EVALUATION OF VOLATILITY FORECASTS (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:cir:cirwor:2002s-90

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