Asymptotic inference about predictive accuracy using high frequency data

• Main Authors: LI, Jia, PATTON, Andrew J.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2018
• Subjects: Forecast evaluation; Realized variance; Volatility; Jumps; Semimartingale; Econometrics
• 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
• Institution: Singapore Management University

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,...