We develop general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit recent nonparametric asymptotic distributional results, are both easy-to-implement and highly accurate in empirically realistic situations. We also illustrate that properly accounting for the measurement errors in the volatility forecast evaluations reported in the existing literature can result in markedly higher estimates for the true degree of return volatility predictability
Accurate volatility forecasting is a key determinant for portfolio management, risk management and e...
Accurate volatility forecasting is a key determinant for portfolio management, risk management and e...
This article surveys the most important developments in volatility forecast comparison and model se...
We develop general model-free adjustment procedures for the calculation of unbiased volatility loss ...
This note develops general model-free adjustment procedures for the calculation of unbiased volatili...
This note develops general model-free adjustment procedures for the calculation of unbiased volatili...
Cette note développe des méthodes d'ajustement, sans spécifier le modèle, qui corrigent le biais ind...
We propose a new family of easy-to-implement realized volatility based forecasting models. The model...
We propose a new family of easy-to-implement realized volatility based forecasting models. The model...
We propose a new family of easy-to-implement realized volatility based forecasting models. The model...
We propose a new family of easy-to-implement realized volatility based forecasting models. The model...
We propose a new family of easy-to-implement realized volatility based forecasting models. The model...
We propose a new family of easy-to-implement realized volatility based forecasting models. The model...
We propose a new family of easy-to-implement realized volatility based forecasting models. The model...
We propose a new family of easy-to-implement realized volatility based forecasting models. The model...
Accurate volatility forecasting is a key determinant for portfolio management, risk management and e...
Accurate volatility forecasting is a key determinant for portfolio management, risk management and e...
This article surveys the most important developments in volatility forecast comparison and model se...
We develop general model-free adjustment procedures for the calculation of unbiased volatility loss ...
This note develops general model-free adjustment procedures for the calculation of unbiased volatili...
This note develops general model-free adjustment procedures for the calculation of unbiased volatili...
Cette note développe des méthodes d'ajustement, sans spécifier le modèle, qui corrigent le biais ind...
We propose a new family of easy-to-implement realized volatility based forecasting models. The model...
We propose a new family of easy-to-implement realized volatility based forecasting models. The model...
We propose a new family of easy-to-implement realized volatility based forecasting models. The model...
We propose a new family of easy-to-implement realized volatility based forecasting models. The model...
We propose a new family of easy-to-implement realized volatility based forecasting models. The model...
We propose a new family of easy-to-implement realized volatility based forecasting models. The model...
We propose a new family of easy-to-implement realized volatility based forecasting models. The model...
We propose a new family of easy-to-implement realized volatility based forecasting models. The model...
Accurate volatility forecasting is a key determinant for portfolio management, risk management and e...
Accurate volatility forecasting is a key determinant for portfolio management, risk management and e...
This article surveys the most important developments in volatility forecast comparison and model se...
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