Out of sample forecasts of quadratic variation

By Yacine Aït-Sahalia, Loriano Mancini. 2008

163 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/10731a66554cd6318232963849b5ae6e6cb79397

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Citations in the corpus

A Simple Approximate Long-Memory Model of Realized Volatility (2008, methodology): “Moreover, following the analysis of Andersen and Bollerslev (1998), Andersen, Bollerslev, and Diebold (2007), and Aı̈t-Sahalia and Mancini (2008), Table 4 also reports the results of the R2 of the Mincer-Zarnowitz regressions”
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012, unknown): “A¨ıt-Sahalia and Mancini (2008) show that using the two-scale estimator instead of standard realized volatility measures yields signiﬁcant gains in volatility forecasting.”
A blocking and regularization approach to high dimensional realized covariance estimation (2012, unknown): “The pre-collapse findings are consistent with the large empirical literature on asset returns, for instance in Andersen, Bollerslev, Diebold, and Labys (2001), Ait-Sahalia and Mancini (2008) and Andersen, Bollerslev, Frederiksen, and Nielsen (2009). In all panels, stock returns display excess kurtos”
Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error (2008, methodology): “Zhang (2004) introduced the more complicated Multiple Scales Realized Volatility (MSRV) estimator that combines multiple ( n) time scales, which has a convergence rate of n . This is known to be the optimal rate for this problem. Both papers assumed that the MS noise was i.i.d. and independent of th”
A Practical Guide to Volatility Forecasting through Calm and Storm (2011, unknown): “Important contributions in these areas include Andersen et al (2003), Deo et al (2006), Engle and Gallo (2006), Aït-Sahalia and Mancini (2008), Hansen et al (2010), Corsi (2010), Shephard and Sheppard (2010) and Ghysels et al (1995). While realized volatility models often demonstrate excellent forec”
Realized Volatility: A Review (2008, background): “Aït-Sahalia and Mancini (2006) compare the out-of-sample relative forecasting ability of RV in a variety of contexts.”
Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2015, unknown): “Previous empirical work on the choice of realized measure has been based on a relatively homogeneous collection of assets (most commonly, constituents of the Dow Jones Industrial Average index) or on results from simulations, see Aı̈t-Sahalia and Mancini (2008), Gatheral and Oomen (2010), Andersen e”
The Price of Variance Risk (2015, background): “Andersen et al. (2003), Ait-Sahalia and Mancini (2008), Bandi, Russell, and Yang (2008), and Brownlees, Engle, and Kelly (2011) show that volatility is predictable based on lagged returns of the underlying and past volatility.”
Realized volatility forecasting and market microstructure noise (2011, background): “…assessment in order to rank the estimators while also studying data generating processes and forecast procedures not considered here.4 For example, Aı̈t-Sahalia and Mancini (2008) include long memory and jump diffusions among the scenarios explored, while Ghysels and Sinko (2006) consider…”
HAR Modeling for Realized Volatility Forecasting (2012, unknown): “Recent research focusing on jump detection and volatility measuring in presence of jumps includes [12], [62], [59], [56], [2], [1], [29], [63] and [24].”
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting (2010, unknown): “Directly incorporating microstructure noise can improve volatility forecasting, see e.g. Aı̈t-Sahalia and Mancini (2008).”
Forecasting Volatility Using High-Frequency Data (2011, methodology): “This idea has been extended and utilized for the purpose of volatility forecasting by Barndorff-Nielsen, Nielsen, Shephard and Ysusi (2004), Andersen, Bollerslev and Meddahi (2004, 2009) and Aı̈t-Sahalia and Mancini (2008). We will not attempt to review this part of the literature in this chapter.”