Volatility Forecast Comparison Using Imperfect Volatility Proxies

2006/01/01 by Andrew J. Patton
Economics, Econometrics and Finance · #Financial Risk and Volatility Modeling #Monetary Policy and Economic Impact

paper · doi:10.1016/j.jeconom.2010.03.034

Citations

• The Extreme Value Method for Estimating the Variance of the Rate of Return
• On the Estimation of Security Price Volatilities from Historical Data