Evaluating volatility and interval forecasts.

A widely used approach to evaluating volatility forecasts uses a regression framework which measures the bias and variance of the forecast. We show that the associated test for bias is inappropriate before introducing a more suitable procedure which is based on the test for bias in a conditional mea...

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Bibliographic Details
Main Author: Taylor, J
Format: Journal article
Language:English
Published: John Wiley & Sons, Ltd. 1999