Combining multivariate volatility forecasts: an economic-based approach
Year of publication: |
2017
|
---|---|
Authors: | Caldeira, João F. ; Moura, Guilherme Valle ; Nogales, Francisco J. ; Santos, André A. P. |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 15.2017, 2, p. 247-285
|
Subject: | composite likelihood | conditional correlation models | model confidence set | realized ovariance | stochastic volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Korrelation | Correlation | Stochastischer Prozess | Stochastic process | Modellierung | Scientific modelling | Multivariate Analyse | Multivariate analysis | Schätztheorie | Estimation theory | Schätzung | Estimation | Aktienmarkt | Stock market |
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