A nonparametric approach to forecasting realized volatility

Preprint OPEN
Adam Clements ; Ralf Becker (2009)
  • Subject: Volatility, forecasts, forecast evaluation, model confidence set, nonparametric
    • jel: jel:C22 | jel:G00

A well developed literature exists in relation to modeling and forecasting asset return volatility. Much of this relate to the development of time series models of volatility. This paper proposes an alternative method for forecasting volatility that does not involve suc... View more
  • References (15)
    15 references, page 1 of 2

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