Journal article
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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- Publisher copy:
- 10.1016/j.ijforecast.2009.01.011
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Authors
Bibliographic Details
- Publisher:
- Elsevier
- Journal:
- International Journal of Forecasting
- Volume:
- 25
- Issue:
- 2
- Pages:
- 218 - 238
- Publication date:
- 2009-01-01
- DOI:
- ISSN:
-
0169-2070
Item Description
- Language:
- English
- UUID:
-
uuid:8313d13c-a63e-4fea-a6b4-a4e218ca7ca1
- Local pid:
- oai:economics.ouls.ox.ac.uk:15231
- Deposit date:
- 2011-11-17
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Terms of use
- Copyright date:
- 2009
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