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Optimal combinations of realised volatility estimators.

Abstract:

Recent advances in financial econometrics have led to the development of new estimators of asset price variability using frequently-sampled price data, known as "realised volatility estimators" or simply "realised measures". These estimators rely on a variety of different assumptions and take many different functional forms. Motivated by the empirical success of combination forecasts, this paper presents a novel approach for combining individual realised measures to form new estimators of pri...

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Journal:
International Journal of Forecasting
Volume:
25
Issue:
2
Publication date:
2009-01-01
DOI:
URN:
uuid:8313d13c-a63e-4fea-a6b4-a4e218ca7ca1
Local pid:
oai:economics.ouls.ox.ac.uk:15231
Language:
English

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