Discussion Paper
No. 2008-18 | April 23, 2008
Genaro Sucarrat
Forecast Evaluation of Explanatory Models of Financial Return Variability

Abstract

A 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. Paper submitted to the special issue “Using Econometrics for Assessing Economic Models” edited by Katarina Juselius.

JEL Classification:

C52, C53, F31, F37

Links

Cite As

[Please cite the corresponding journal article] Genaro Sucarrat (2008). Forecast Evaluation of Explanatory Models of Financial Return Variability. Economics Discussion Papers, No 2008-18, Kiel Institute for the World Economy. http://www.economics-ejournal.org/economics/discussionpapers/2008-18


Comments and Questions



Anonymous - Referee Report
June 06, 2008 - 13:58
See attached file

Genaro Sucarrat - Response to referee 1
July 09, 2008 - 13:38

Anonymous - Referee Report
June 11, 2008 - 14:23
See attached file

Genaro Sucarrat - Response to referee 2
July 09, 2008 - 13:43

Anonymous - Forecast Evaluation of Explanatory Models of Financial Return Variability
June 18, 2008 - 18:53
see attached file.

Genaro Sucarrat - Response to comment 1
July 09, 2008 - 13:45