Predictive inference for integrated volatility

Corradi, V, Distaso, W and Swanson, NR (2011) Predictive inference for integrated volatility Journal of the American Statistical Association, 106 (496). pp. 1496-1512.

Full text not available from this repository.

Abstract

Numerous volatility-based derivative products have been engineered in recent years. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this article we propose nonparametric estimators of the aforementioned quantities, based on model-free volatility estimators. We establish consistency and asymptotic normality for the feasible estimators and study their finite-sample properties through a Monte Carlo experiment. Finally, using data from the New York Stock Exchange, we provide an empirical application to volatility directional predictability. © 2011 American Statistical Association.

Item Type:	Article
Authors :	Name Email ORCID Corradi, V v.corradi@surrey.ac.uk Distaso, W Swanson, NR
Date :	1 December 2011
DOI :	10.1198/jasa.2011.tm10012
Depositing User :	Symplectic Elements
Date Deposited :	16 May 2017 15:27
Last Modified :	16 Jan 2019 17:31
URI:	http://epubs.surrey.ac.uk/id/eprint/819741

Actions (login required)

View Item

Downloads