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,...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2018
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2583 https://ink.library.smu.edu.sg/context/soe_research/article/3582/viewcontent/AsymptoticInference_av.pdf |
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| Institution: | Singapore Management University |
| Language: | English |