Permanent URL to this publication: http://dx.doi.org/10.5167/uzh-10889
Ait-Sahalia, Yacine; Mancini, Loriano (2008). Out of sample forecasts of quadratic variation. Journal of Econometrics, 147(1):17-33.
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We compare the forecasts of Quadratic Variation given by the Realized Volatility (RV) and the Two Scales Realized Volatility (TSRV) computed from high frequency data in the presence of market microstructure noise, under several different dynamics for the volatility process and assumptions on the noise. We show that TSRV largely outperforms RV, whether looking at bias, variance, RMSE or out-of-sample forecasting ability. An empirical application to all DJIA stocks confirms the simulation results.
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|Item Type:||Journal Article, refereed, further contribution|
|Communities & Collections:||03 Faculty of Economics > Department of Banking and Finance|
|Deposited On:||23 Jan 2009 09:37|
|Last Modified:||28 Nov 2013 00:56|
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