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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 ...
ARMA Representation of Integrated and Realized Variances
(Université de Montréal. Département de sciences économiques., 2002)
This paper derives the ARMA representation of integrated and realized variances when the spot variance depends linearly on two autoregressive factors, i.e., SR SARV(2) models. This class of processes includes affine, GARCH ...
Testing Normality : A GMM Approach
(Université de Montréal. Département de sciences économiques., 2002)
In this paper, we consider testing marginal normal distributional assumptions. More precisely, we propose tests based on moment conditions implied by normality. These moment conditions are known as the Stein (1972) equations. ...