Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities
dc.contributor.author | Andersen, Torben G. | |
dc.contributor.author | Bollerslev, Tim | |
dc.contributor.author | Meddahi, Nour | |
dc.date.accessioned | 2006-09-22T19:56:18Z | |
dc.date.available | 2006-09-22T19:56:18Z | |
dc.date.issued | 2002 | |
dc.identifier.uri | http://hdl.handle.net/1866/496 | |
dc.format.extent | 158041 bytes | |
dc.format.mimetype | application/pdf | |
dc.publisher | Université de Montréal. Département de sciences économiques. | fr |
dc.subject | erreurs de mesure | |
dc.subject | méthode d’ajustement | |
dc.subject | volatilité intégrée | |
dc.subject | volatilité réalisée | |
dc.subject | données à haute fréquence | |
dc.subject | prévision de séries chronologiques | |
dc.subject | régressions de Mincer-Zarnowitz | |
dc.subject | measurement errors | |
dc.subject | model-free adjustment procedures | |
dc.subject | integrated volatility | |
dc.subject | realized volatility | |
dc.subject | high-frequency data | |
dc.subject | time series forecasting | |
dc.subject | Mincer-Zarnowitz regressions | |
dc.title | Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities | |
dc.type | Article | |
dc.contributor.affiliation | Université de Montréal. Faculté des arts et des sciences. Département de sciences économiques | |
dcterms.abstract | 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 in Barndorff-Nielsen and Shephard (2002a), are both easy to implement and highly accurate in empirically realistic situations. On properly accounting for the measurement errors in the volatility forecast evaluations reported in Andersen, Bollerslev, Diebold and Labys (2003), the adjustments result in markedly higher estimates for the true degree of return-volatility predictability. | |
dcterms.abstract | Cette note développe des méthodes d’ajustement, sans spécifier le modèle, qui corrigent le biais induit par les erreurs de mesures de la volatilité dans la mesure de performance des méthodes de prévision de la volatilité. Les procédures, qui utilisent la récente théorie asymptotique de Barndorff-Nielsen et Shephard (2002a), sont faciles à mettre en oeuvre et très performantes dans les situations empiriques usuelles. En particulier, la prise en compte des erreurs de mesures dans les procédures de prévision de Andersen, Bollerslev, Diebold et Labys (2003), amène à des performances de prévision de la volatilité très élevées. | |
dcterms.isPartOf | urn:ISSN:0709-9231 | |
UdeM.VersionRioxx | Version publiée / Version of Record | |
oaire.citationTitle | Cahier de recherche | |
oaire.citationIssue | 2002-21 |
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