Journal
JOURNAL OF BUSINESS & ECONOMIC STATISTICS
Volume 25, Issue 1, Pages 76-90Publisher
AMER STATISTICAL ASSOC
DOI: 10.1198/073500106000000440
Keywords
bi-power variation; factor models; forecasting; jump; model selection; realized volatility
Ask authors/readers for more resources
This article develops multivariate factor models for forecasting volatility in Australian stocks. We suggest estimation procedures for approximate factor models that are robust to jumps when the cross-sectional dimension is not very large, and also work with volatility measures that have been constructed so that they contain no jump components. Out-of-sample forecast analysis shows that multivariate factor models of volatility outperform univariate models, but there is little difference between simple and sophisticated factor models.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available