Volatility forecast comparison using imperfect volatility.
The use of a conditionally unbiased, but imperfect, volatility proxy can lead to undesirable out- comes in standard methods for comparing conditional variance forecasts. We motivate our study with analytical results on the distortions caused by some widely-used loss functions, when used with stan-da...
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| Format: | Working paper |
| Language: | English |
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Oxford-Man Institute of Quantitative Finance
2007
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