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Browsing Department of Economics (ECO) by Author "HANSEN, Peter Reinhard"
Now showing items 1-6 of 6
Title:Exponential GARCH Modeling with Realized Measures of Volatility
Author(s):HANSEN, Peter Reinhard; HUANG, ZhuoDate:2012Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, ...
Title:Realized GARCH: A joint model for returns and realized measures of volatility
Author(s):HANSEN, Peter Reinhard; HUANG, Zhuo; SHEK, Howard HowanDate:2012Type of Publication:ArticleAbstract:We introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the realized measure to the conditional variance of ...
Title:Equivalence Between Out-of-Sample Forecast: Comparisons and Wald statistics
Author(s):HANSEN, Peter Reinhard; TIMMERMANN, AllanDate:2012Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:We establish the equivalence between a commonly used out-of-sample test of equal predictive accuracy and the difference between two Wald statistics. This equivalence greatly simplifies the computational burden of calculating ...
Title:Choice of Sample Split in Out-of-Sample Forecast Evaluation
Author(s):HANSEN, Peter Reinhard; TIMMERMANN, AllanDate:2012Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:Out-of-sample tests of forecast performance depend on how a given data set is split into estimation and evaluation periods, yet no guidance exists on how to choose the split point. Empirical forecast evaluation results can ...
Title:Realized Beta GARCH: Multivariate GARCH model with realized measures of volatility and covolatility
Author(s):HANSEN, Peter Reinhard; LUNDE, Asger; VOEV, ValeriDate:2012Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:We introduce a multivariate GARCH model that incorporates realized measures of
volatility and covolatility. The realized measures extract information about the current
level of volatility and covolatility from high-frequency ...
Title:Forecasting Volatility Using High-Frequency Data
Author(s):HANSEN, Peter Reinhard; LUNDE, AsgerDate:2011Type of Publication:Contribution to bookAbstract:This article focuses on some aspects of high-frequency data and their use in volatility forecasting. High-frequency data can be used to construct volatility forecasts. The article reviews two leading approaches to this. ...
