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.
View at publisher
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.
176 downloads since deposited on 23 Jan 2009
13 downloads since 12 months
|Item Type:||Journal Article, refereed, further contribution|
|Communities & Collections:||03 Faculty of Economics > Department of Banking and Finance|
|Dewey Decimal Classification:||330 Economics|
|Deposited On:||23 Jan 2009 09:37|
|Last Modified:||28 Nov 2013 00:56|
Users (please log in): suggest update or correction for this item
Repository Staff Only: item control page