EconPapers    
Economics at your fingertips  
 

Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities

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

CIRANO Working Papers from CIRANO

Keywords: Measurement errors; model-free adjustment procedures; integrated volatility; realized volatility; high-frequency data; time series forecasting; Mincer-Zarnowitz regressions, Erreurs de mesure; méthode d'ajustement; volatilité intégrée, volatilité réalisée; données à haute fréquence; prévision de série chronologiques; régressions de Mincer-Zarnowitz (search for similar items in EconPapers)
Date: 2002-12-01
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-fin, nep-fmk, nep-mac and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link)
https://cirano.qc.ca/files/publications/2002s-91.pdf

Related works:
Working Paper: Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities (2002) Downloads
Working Paper: CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES (2002) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cir:cirwor:2002s-91

Access Statistics for this paper

More papers in CIRANO Working Papers from CIRANO Contact information at EDIRC.
Bibliographic data for series maintained by Webmaster ().

 
Page updated 2022-08-23
Handle: RePEc:cir:cirwor:2002s-91