BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//CREST - ECPv5.1.3//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:CREST
X-ORIGINAL-URL:https://crest.science
X-WR-CALDESC:Events for CREST
BEGIN:VTIMEZONE
TZID:Europe/Helsinki
BEGIN:DAYLIGHT
TZOFFSETFROM:+0200
TZOFFSETTO:+0300
TZNAME:EEST
DTSTART:20230326T010000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0300
TZOFFSETTO:+0200
TZNAME:EET
DTSTART:20231029T010000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20230622T113000
DTEND;TZID=Europe/Helsinki:20230622T123000
DTSTAMP:20260711T063958
CREATED:20230613T051945Z
LAST-MODIFIED:20230621T040628Z
UID:15106-1687433400-1687437000@crest.science
SUMMARY:CANCELLED - Massimiliano CAPORIN (University of Padova) "Exploiting Intraday Decompositions  in Realized Volatility Forecasting : A Forecast Reconciliation Approach"
DESCRIPTION:Finance & Financial Econometrics: \nTime: 11.30 am\nDate: 22th of June 2023\nRoom 3001 \nMassimiliano CAPORIN (University of Padova) “Exploiting Intraday Decompositions in Realized Volatility Forecasting : A Forecast Reconciliation Approach” \nAbstract : We address the construction of Realized Variance (RV ) forecasts by exploiting the hierarchical structure implicit in available decompositions of RV . By using data referred to the Dow Jones Industrial Average Index and to its constituents we show that exploiting the informative content of hierarchies improves the forecast accuracy. Forecasting performance is evaluated out-of-sample based on the empirical MSE and QLIKE criteria as well as using the Model Confidence Set approach. \nJoint work : T. Di Fonzo\, and D. Girolimetto \n  \nOrganizers:\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/massimiliano-caporin-university-of-padova-exploiting-intraday-decompositions-in-realized-volatility-forecasting-a-forecast-reconciliation-approach/
CATEGORIES:Finance-Insurance,Financial Econometrics
ATTACH;FMTTYPE=:
END:VEVENT
END:VCALENDAR