Anders Eriksson

J.P. Morgan Chase & Co.

60 Wall St.

New York, NY 10260

United States

  • J.P. Morgan Chase & Co.

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Forecasting Realized Volatility Using a Nonnegative Semiparametric Model

Journal of Risk and Financial Management, 2019
Number of pages: 30 Posted: 06 Sep 2019
Anders Eriksson, Daniel P. A. Preve and Jun Yu
J.P. Morgan Chase & Co., Singapore Management University and Singapore Management University - School of Economics
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Abstract:

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Volatility forecasting, Realized volatility, Linear programming estimator, Tukey’s power transformation, Nonlinear nonnegative autoregression, Forecast comparisons