Asymptotic inference about predictive accuracy using high frequency data
نویسندگان
چکیده
منابع مشابه
Asymptotic inference about predictive accuracy using high frequency data
This paper provides a general framework that enables many existing inference methods for predictive accuracy to be used in applications that involve forecasts of latent target variables. Such applications include the forecasting of volatility, correlation, beta, quadratic variation, jump variation, and other functionals of an underlying continuous-time process. We provide primitive conditions u...
متن کاملSupplement to Asymptotic Inference about Predictive Accuracy using High Frequency Data ∗
This supplement contains three appendices. Appendix A contains proofs of results in the main text. Appendix B provides details for the stepwise procedures discussed in Section 5 of the main text. Appendix C contains some additional simulation results. ∗Contact address: Department of Economics, Duke University, 213 Social Sciences Building, Box 90097, Durham NC 27708-0097, USA. Email: jl410@duke...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2018
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2017.10.005