Volatility forecast comparison using imperfect volatility.

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...

Bibliografske podrobnosti
Glavni avtor:	Patton, A
Format:	Working paper
Jezik:	English
Izdano:	Oxford-Man Institute of Quantitative Finance 2007

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