Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach

Abstract We address the construction of Realized Variance (RV) forecasts by exploiting the hierarchical structure implicit in available decompositions of RV. We propose a post-forecasting approach that utilizes bottom-up and regression-based reconciliation methods. By using data referred to the Dow...

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Veröffentlicht in:	Journal of financial econometrics 2024-12, Vol.22 (5), p.1759-1784
Hauptverfasser:	Caporin, Massimiliano, Di Fonzo, Tommaso, Girolimetto, Daniele
Format:	Artikel
Sprache:	eng
Online-Zugang:	Volltext
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