Volatility forecasts are central to many financial issues, including empirical asset pricing finance and risk management. In this paper, I derive a new quadratic-form representation of the pre-averaging volatility est...Volatility forecasts are central to many financial issues, including empirical asset pricing finance and risk management. In this paper, I derive a new quadratic-form representation of the pre-averaging volatility estimator of Jacod et al. （2009）, which allows for the theoretical analysis of its forecasting performance.展开更多
文摘Volatility forecasts are central to many financial issues, including empirical asset pricing finance and risk management. In this paper, I derive a new quadratic-form representation of the pre-averaging volatility estimator of Jacod et al. （2009）, which allows for the theoretical analysis of its forecasting performance.
