Averaging heterogeneous autoregression models with heteroskedastic errors : theory and an application to cryptocurrency volatility forecasting
Ziwen Gao, Steven F. Lehrer, Tian Xie and Xinyu Zhang
| Year of publication: |
2024
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|---|---|
| Authors: | Gao, Ziwen ; Lehrer, Steven F. ; Xie, Tian ; Zhang, Xinyu |
| Published in: |
Essays in honor of Subal Kumbhakar. - Leeds : Emerald Publishing, ISBN 978-1-83797-875-5. - 2024, p. 99-131
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| Subject: | Model uncertainty | model averaging | asymptotic optimality | heterogeneous autoregression | cryptocurrency | volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Virtuelle Währung | Virtual currency | Autokorrelation | Autocorrelation | Schätztheorie | Estimation theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1108/S0731-905320240000046006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014559151