Supplement to Asymptotic Inference about Predictive Accuracy using High Frequency Data ∗
نویسندگان
چکیده
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: [email protected] and [email protected].
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 کاملInference about the Burr Type III Distribution under Type-II Hybrid Censored Data
This paper presents the statistical inference on the parameters of the Burr type III distribution, when the data are Type-II hybrid censored. The maximum likelihood estimators are developed for the unknown parameters using the EM algorithm method. We provided the observed Fisher information matrix using the missing information principle which is useful for constructing the asymptotic confidence...
متن کاملPredicting the Effects of New Sanctions and Evaluating Fiscal Policies in the Context of a Macroeconomic Model with Mixed-Frequency Data Sampling for the Iranian Economy Under Sanctions
In the Iranian economy, which has experienced various sanctions, it was necessary to anticipate macroeconomic variables when imposing new sanctions. On the other hand, in the context of sanctions, it is possible to make a more accurate assessment of economic policies in order to be able to respond in a timely manner to these shocks and the need for appropriate planning and security against them...
متن کاملAsymptotic Efficiencies of the MLE Based on Bivariate Record Values from Bivariate Normal Distribution
Abstract. Maximum likelihood (ML) estimation based on bivariate record data is considered as the general inference problem. Assume that the process of observing k records is repeated m times, independently. The asymptotic properties including consistency and asymptotic normality of the Maximum Likelihood (ML) estimates of parameters of the underlying distribution is then established, when m is ...
متن کاملA comparative QSAR study of aryl-substituted isobenzofuran-1(3H)-ones inhibitors
A comparative workflow, including linear and non-linear QSAR models, was carried out to evaluate the predictive accuracy of models and predict the inhibition activity of a series of aryl-substituted isobenzofuran-1(3H)-ones. The data set consisted of 34 compounds was classified into the training and test sets, randomly. Molecular descriptors were selected using the genetic algorithm (GA) as a f...
متن کامل