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Transformations of Love: The Friendship of John Evelyn and Margaret Godolphinby Frances Harris

✍ Scribed by Review by: James R. Jacob

Book ID
124618366
Publisher
Cambridge University Press
Year
2004
Weight
120 KB
Volume
36
Category
Article
ISSN
0095-1390

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πŸ“œ SIMILAR VOLUMES

Bias in the estimation of non-linear tra
Bias in the estimation of non-linear transformations of the integrated variance of returns
✍ Richard D. F. Harris; Cherif Guermat πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 208 KB

## Abstract Volatility models such as GARCH, although misspecified with respect to the data‐generating process, may well generate volatility forecasts that are unconditionally unbiased. In other words, they generate variance forecasts that, on average, are equal to the integrated variance. However,