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dc.contributor.authorSucarrat, Genaroen_US
dc.date.accessioned2009-01-28T15:05:25Z-
dc.date.available2009-01-28T15:05:25Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/17990-
dc.description.abstractA practice that has become widespread is that of comparing forecasts of financial return variability obtained from discrete time models against high frequency estimates based on continuous time theory. In explanatory financial return variability modelling this raises several methodological and practical issues, which suggests an alternative framework is needed. The contribution of this study is twofold. First, the finite sample properties of operational and practical procedures for the forecast evaluation of explanatory discrete time models of financial return variability are studied. Second, with basis in the simulation results a simple framework is proposed and illustrated.en_US
dc.language.isoengen_US
dc.publisherKiel Institute for the World Economy (IfW) Kiel-
dc.relation.ispartofseriesEconomics Discussion Papers / Institut für Weltwirtschaft 2008-18en_US
dc.subject.jelC53en_US
dc.subject.jelC52en_US
dc.subject.jelF37en_US
dc.subject.jelF31en_US
dc.subject.ddc330en_US
dc.subject.keywordReturn variability forecastingen_US
dc.subject.keywordfinancial volatilityen_US
dc.subject.keywordexplanatory modellingen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwWechselkursen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwVergleichen_US
dc.subject.stwSimulationen_US
dc.subject.stwTheorieen_US
dc.titleForecast Evaluation of Explanatory Models of Financial Return Variabilityen_US
dc.typeWorking Paperen_US
dc.identifier.ppn565667246en_US
dc.rights.licensehttp://creativecommons.org/licenses/by-nc/2.0/de/deed.en-
dc.identifier.repecRePEc:zbw:ifwedp:7263-
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