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dc.contributor.authorSucarrat, Genaroen
dc.date.accessioned2009-01-28T15:05:25Z-
dc.date.available2009-01-28T15:05:25Z-
dc.date.issued2008-
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
dc.language.isoengen
dc.publisher|aKiel Institute for the World Economy (IfW) |cKielen
dc.relation.ispartofseries|aEconomics Discussion Papers |x2008-18en
dc.subject.jelC53en
dc.subject.jelC52en
dc.subject.jelF37en
dc.subject.jelF31en
dc.subject.ddc330en
dc.subject.keywordReturn variability forecastingen
dc.subject.keywordfinancial volatilityen
dc.subject.keywordexplanatory modellingen
dc.subject.stwKapitalertragen
dc.subject.stwWechselkursen
dc.subject.stwVolatilitäten
dc.subject.stwPrognoseverfahrenen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwVergleichen
dc.subject.stwSimulationen
dc.subject.stwTheorieen
dc.titleForecast Evaluation of Explanatory Models of Financial Return Variability-
dc.typeWorking Paperen
dc.identifier.ppn565667246en
dc.rights.licensehttp://creativecommons.org/licenses/by-nc/2.0/de/deed.enen
dc.identifier.repecRePEc:zbw:ifwedp:7263en

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