Reference
Torben G. Andersen, Tim Bollerslev, and Nour Meddahi, “Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities ”, Econometrica, vol. 73, n. 1, January 2005, pp. 279–296.
See also
Published in
Econometrica, vol. 73, n. 1, January 2005, pp. 279–296