Semiparametric density forecasts of daily financial returns from intraday data
Semiparametric density forecasts of daily financial returns from intraday data
In this article we propose a new method for producing semiparametric density forecasts for daily financial returns from high-frequency intraday data. The daily return density is estimated directly from intraday observations that have been appropriately rescaled using results from the theory of unifractal processes. The method preserves information concerning both the magnitude and sign of the intraday returns and allows them to influence all properties of the daily return density via the use of nonparametric specifications for the daily return distribution. The out-of-sample density forecasting performance of the method is shown to be competitive with existing methods based on intraday data for exchange rate and equity index data.
density forecasting, unifractal, high-frequency data, semiparametric
408-432
Hallam, M.
90b75cfc-3890-4567-be1a-075069235129
Olmo, J.
706f68c8-f991-4959-8245-6657a591056e
Hallam, M.
90b75cfc-3890-4567-be1a-075069235129
Olmo, J.
706f68c8-f991-4959-8245-6657a591056e
Hallam, M. and Olmo, J.
(2014)
Semiparametric density forecasts of daily financial returns from intraday data.
Journal of Financial Econometrics, 12 (2), .
(doi:10.1093/jjfinec/nbt016).
Abstract
In this article we propose a new method for producing semiparametric density forecasts for daily financial returns from high-frequency intraday data. The daily return density is estimated directly from intraday observations that have been appropriately rescaled using results from the theory of unifractal processes. The method preserves information concerning both the magnitude and sign of the intraday returns and allows them to influence all properties of the daily return density via the use of nonparametric specifications for the daily return distribution. The out-of-sample density forecasting performance of the method is shown to be competitive with existing methods based on intraday data for exchange rate and equity index data.
Text
Hallam_Olmo_JFinEc.pdf
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e-pub ahead of print date: 2014
Keywords:
density forecasting, unifractal, high-frequency data, semiparametric
Organisations:
Economics
Identifiers
Local EPrints ID: 357415
URI: http://eprints.soton.ac.uk/id/eprint/357415
ISSN: 1479-8409
PURE UUID: 0caba333-d1e5-4e6d-b9a4-2b8081167be3
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Date deposited: 07 Oct 2013 13:18
Last modified: 15 Mar 2024 03:46
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Author:
M. Hallam
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