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Evaluating Volatility and Correlation Forecasts.

Abstract:

This paper considers the problem of evaluation and comparison of univariate and multivariate volatility forecasts, with explicit attention paid to the fact that in such applications the object of interest is unobservable, even ex post. Thus the evaluation and comparison of volatility forecasts must rely on direct or indirect methods of overcoming this difficulty. Direct methods use a “volatility proxy”, i.e. some observable variable that is related to the latent variable of interest. We will ...

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Andrew J. Patton More by this author
Kevin Sheppard More by this author
Volume:
2007OMI02
Series:
Working Papers
Publication date:
2007-10-29
URN:
uuid:474e796d-5656-4e6b-94d3-b10125785fc5
Local pid:
oai:economics.ouls.ox.ac.uk:13041
Language:
English

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