Modelling and Forecasting Noisy Realized Volatility

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Summary, etc.：: Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obta...

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Material Type: 文書・図像類
Title: Modelling and Forecasting Noisy Realized Volatility
Author/Editor: Asai, Manabu
McAleer, Michael
Medeiros, Marcelo C.
Author Heading: Asai, Manabu
McAleer, Michael
Medeiros, Marcelo C.
Publication, Distribution, etc.: Institute of Economic Research, Kyoto University
Publication Date: 2011-01
Publication Date (W3CDTF): 2011-01
Periodical title: KIER Discussion Paper
No. or year of volume/issue: 758
Volume: 758
Text Language Code: eng
Subject Heading: realized volatility
diffusion
financial econometrics
measurement errors
forecasting
model evaluation
goodness-of-fit
NDC: 330
Target Audience: 一般
Format (IMT): application/pdf
Source: DP758.pdf （fulltext）
http://repository.kulib.kyoto-u.ac.jp/dspace/bitstream/2433/134865/1/DP758.pdf
Access Restrictions: インターネット公開
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 京都大学 : 京都大学学術情報リポジトリ