Combining nearest neighbor predictions and model-based predictions of realized variance : does it pay?
Julián Andrada-Félix, Fernando Fernández-Rodríguez, Ana-Maria Fuertes
| Year of publication: |
July-September 2016
|
|---|---|
| Authors: | Andrada Félix, Julián ; Fernández Rodríguez, Fernando ; Fuertes, Ana María |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 32.2016, 3, p. 695-715
|
| Subject: | Realized volatility | Volatility forecasting | Non-parametric forecasts | Nearest neighbor | Long-memory models | Forecast combination | Straddles | Options trading | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Prognose | Forecast | Nichtparametrisches Verfahren | Nonparametric statistics | Optionsgeschäft | Option trading | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2015.10.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011621779