Threshold bipower variation and the impact of jumps on volatility forecasting
- Author
- CORSI, Fulvio1 2 ; PIRINO, Davide3 ; RENO, Roberto4
[1] University of Lugano, Switzerland
[2] Swiss Finance Institute, Switzerland
[3] CAFED and LEM, Scuola Superiore Sant'Anna, Pisa, Italy
[4] Dipartimento di Economia Politica, Università di Siena, Italy - Source
Journal of econometrics. 2010, Vol 159, Num 2, pp 276-288, 13 p ; ref : 1 p
- CODEN
- JECMB6
- ISSN
- 0304-4076
- Scientific domain
- Control theory, operational research; Mathematics
- Publisher
- Elsevier, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- English
- Author keyword
- C1 C22 C53 Financial markets G1 Jump detection Threshold estimation Volatility estimation Volatility forecasting
- Keyword (fr)
- Econométrie Erreur systématique Estimation biaisée Estimation statistique Marché financier Méthode statistique Petit échantillon Processus stochastique Puissance test Théorie filtrage Théorie prédiction Théorie prévision Théorème central limite 60F05 62M20 Echantillon fini Variation quadratique
- Keyword (en)
- Econometrics Bias Biased estimation Statistical estimation Financial market Statistical method Small sample Stochastic process Test power Filtering theory Prediction theory Forecasting theory Central limit theorem Finite sample
- Keyword (es)
- Econometría Error sistemático Estimación sesgada Estimación estadística Mercado financiero Método estadístico Pequeña muestra Proceso estocástico Potencia test Teorema central límite
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01G Limit theorems
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02M Inference from stochastic processes; time series analysis
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02N Applications / 001A02H02N2 Insurance, economics, finance
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 23370862
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/j.jeconom.2010.07.008 
https://dx.doi.org/10.1016/j.jeconom.2010.07.008
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