Asymptotic inference about predictive accuracy using high frequency data

Keywords

Inference, Predictive inference, Computer science, Econometrics, Statistics

References

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• Empirical Dynamic Asset Pricing: Model Specification and Econometric AssessmentKenneth J. Singleton — 2006
• Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency DataYacine Aı̈t-Sahalia, Jean Jacod — 2010
• Estimation of continuous-time stochastic volatility models with jumps using high-frequency dataViktor Todorov — 2009
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?Atsushi Inoue, Lutz Kilian — 2005
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• Stochastic integration and differential equationsPhilip Protter — 1990
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• Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold–Mariano TestsFrancis X. Diebold — 2015
• Efficient Estimation of Stochastic Volatility Using Noisy Observations: A Multi-Scale ApproachLan Zhang — 2004
• Long memory in continuous‐time stochastic volatility modelsFabienne Comte, Éric Renault — 1998

Cited by

• Fixed-b Inference in the Presence of Time-Varying VolatilityMatei Demetrescu, Christoph Hanck, Robinson Kruse — 2016
• Cross-sectional dependence in idiosyncratic volatilityIlze Kalnina, Kokouvi Tewou — 2015
• Comparing predictive accuracy under long memory: With an application to volatility forecastingRobinson Kruse, Christian Leschinski, Michael Will — 2019
• Comparing predictive accuracy in small samples using fixed‐smoothing asymptoticsLaura Coroneo, Fabrizio Iacone — 2020
• Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic FrameworkAlessandro Casini — 2018
• Inference from the futures: ranking the noise cancelling accuracy of realized measuresGiorgio Mirone — 2017
• Tests of Conditional Predictive Ability: Some Simulation EvidenceMichael W. McCracken — 2019
• Testing for Jump Spillovers Without Testing for JumpsValentina Corradi, Walter Distaso, Marcelo Fernandes — 2020
• A Real-time Density Forecast Evaluation of the ECB Survey of Professional ForecastersLaura Coroneo, Fabrizio Iacone, Fabio Profumo — 2019
• Tests of Conditional Predictive Ability: Existence, Size, and PowerMichael W. McCracken — 2020
• On Testing Equal Conditional Predictive Ability Under Measurement ErrorYannick Hoga, Timo Dimitriadis — 2021
• Using proxies to improve forecast evaluationHajo Holzmann, Bernhard Klar — 2021
• Use of high‐frequency data to evaluate the performance of dynamic hedging strategiesYu‐Sheng Lai — 2021
• Realized Quantiles*Timo Dimitriadis, Roxana Halbleib — 2021
• Forecast Evaluation in Large Cross-Sections of Realized VolatilityChristis Katsouris — 2021
• CommentAndrew J. Patton — 2015
• Improving hedging performance by using high–low rangeYu‐Sheng Lai — 2022
• The role of uncertainty measures in volatility forecasting of the crude oil futures market before and during the COVID-19 pandemicZibo Niu, Feng Ma, Hongwei Zhang — 2022
• Weak Identification of Long Memory with Implications for InferenceJia Li, Peter C.B. Phillips, Shuping Shi — 2022
• Integrated variance estimation for assets traded in multiple venuesGustavo Fruet Dias, Karsten Schweikert — 2026

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