A GMM procedure for combining volatility forecasts

A novel approach to the combination of volatility forecasts is discussed. The proposed procedure makes use of the generalized method of moments (GMM) for estimating the combination weights. The asymptotic properties of the GMM estimator are derived while its finite sample properties are assessed by means of a simulation study. The results of an application to a time series of daily returns on the S&P500 are presented.

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Year of publication:	2008
Authors:	Amendola, Alessandra ; Storti, Giuseppe
Published in:	Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 52.2008, 6, p. 3047-3060
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005172502