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Overview page. Subjects: Computing.

When a computer or a user is directly connected into a network and is capable of interacting with it, for example by querying the contents of a database.

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Statistical Surveillance of Volatility Forecasting Models

Vasyl Golosnoy, Iryna Okhrin and Wolfgang Schmid.

in Journal of Financial Econometrics

June 2012; p ublished online December 2011 .

Journal Article. Subjects: Financial Forecasting and Simulation; Single Equation Models; Single Variables; Econometric Modelling. 9721 words.

This paper elaborates sequential procedures for monitoring the validity of a volatility model. A state-space representation describes dynamics of daily integrated volatility. The...

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