Modeling and forecasting aggregate stock market volatility in unstable environments using mixture innovation regressions
Year of publication: |
September 2017
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Authors: | Nonejad, Nima |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 36.2017, 6, p. 718-740
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Subject: | model uncertainty | mixture innovation regressions | parameter instability | stock market volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Aktienmarkt | Stock market | Schätztheorie | Estimation theory | Innovation | Regressionsanalyse | Regression analysis | ARCH-Modell | ARCH model |
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