Realising the future: forecasting with high-frequency-based volatility (HEAVY) models (JAE 2010)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Neil Shephard, Kevin Sheppard Realising the future: forecasting with high-frequency-based volatility (HEAVY) models JAE 2010 2 197–231 - ARCH models, Bootstrap, Missing data, Multiplicative error model, Multistep ahead prediction, Non-nested likelihood ratio test, Realised kernel, Realised volatility

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
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Replication of this study

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement

References

DOI: 10.1002/jae.1158 IDEAS: a/jae/japmet/v25y2010i2p197-231.html EconPapers: RePEc:jae:japmet:v:25:y:2010:i:2:p:197-231


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