Realized volatility forecasting based on dynamic quantile model averaging
Year of publication: |
September 25, 2020
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Authors: | Cai, Zongwu ; Ma, Chaoqun ; Mi, Xianhua |
Publisher: |
Lawrence, Kansas : University of Kansas, Department of Economics |
Subject: | Dynamic moving averaging | Model uncertainty | Fat tails | Heterogeneity | Quantileregression | Realized volatility | Time-varying parameters | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Modellierung | Scientific modelling | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Momentenmethode | Method of moments |
Extent: | 1 Online-Ressource (circa 41 Seiten) Illustrationen |
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Series: | Working papers series in theoretical and applied economics. - Lawrence, Kan., ZDB-ID 2407643-0. - Vol. 2020, 16 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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