کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7357999 1478569 2018 66 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Asymptotic inference about predictive accuracy using high frequency data
ترجمه فارسی عنوان
استنتاج سمبلیک در مورد دقت پیش بینی با استفاده از داده های فرکانس بالا
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
This paper provides a general framework that enables many existing inference methods for predictive accuracy to be used in applications that involve forecasts of latent target variables. Such applications include the forecasting of volatility, correlation, beta, quadratic variation, jump variation, and other functionals of an underlying continuous-time process. We provide primitive conditions under which a “negligibility” result holds, and thus the asymptotic size of standard predictive accuracy tests, implemented using a high-frequency proxy for the latent variable, is controlled. An extensive simulation study verifies that the asymptotic results apply in a range of empirically relevant applications, and an empirical application to correlation forecasting is presented.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 203, Issue 2, April 2018, Pages 223-240
نویسندگان
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