Parcourir Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications par sujet "realized volatility"
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Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities
(Université de Montréal. Département de sciences économiques., 2002)This note develops general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit the recent asymptotic distributional results ... -
A Theoretical Comparison Between Integrated and Realized Volatilies
(Université de Montréal. Département de sciences économiques., 2001)In this paper, we provide both qualitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed. We start by characterizing for a general diffusion the ...