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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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Abstract

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.

Item Type:Journal Article, refereed, further contribution
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
DDC:330 Economics
Language:English
Date:November 2008
Deposited On:23 Jan 2009 09:37
Last Modified:28 Nov 2013 00:56
Publisher:Elsevier
ISSN:0304-4076
Publisher DOI:10.1016/j.jeconom.2008.09.015
Citations:Web of Science®. Times Cited: 34
Google Scholar™
Scopus®. Citation Count: 36

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