期刊
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
卷 163, 期 1, 页码 102-114出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.ejor.2004.01.003
关键词
volatility forecasting; runs test; persistence measures
In this work we refine a nonparametric methodology firstly applied in Christoffersen and Diebold [Review of Economics and Statistics 82 (2000) 12] for assessing volatility forecastability in financial time series based on discretization and on the use of runs tests. Empirical results are provided for SP500 and MIB30 indexes that lead naturally to a discretized one-period Markov chain. The results are confirmed with other persistence measures and their robustness is studied via numerical simulation. (C) 2004 Elsevier B.V. All rights reserved.
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