Macroeconomic forecasting performance under alternative specifications of time-varying volatility
Year of publication: |
2015
|
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Authors: | Clark, Todd E. ; Ravazzolo, Francesco |
Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 30.2015, 4, p. 551-575
|
Subject: | Stochastic volatility | GARCH | forecasting | ARCH-Modell | ARCH model | Volatilität | Volatility | Theorie | Theory | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Wirtschaftsprognose | Economic forecast |
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