Combining volatility forecasts of duration-dependent Markov-switching models
Douglas Eduardo Turatti, Fernando Henrique de Paula e Silva Mendes, João H. G. Mazzeu
| Year of publication: |
2025
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|---|---|
| Authors: | Turatti, Douglas Eduardo ; Mendes, Fernando Henrique de Paula e Silva ; Mazzeu, João H. G. |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 44.2025, 4, p. 1195-1210
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| Subject: | conditional volatility models | duration-dependent Markov-switching models | forecast combination | forecasting volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3212 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015464622