Forecasting multivariate volatilities with exogenous predictors : an application to industry diversification strategies
Jiawen Luo, Oguzhan Cepni, Riza Demirer, Rangan Gupta
| Year of publication: |
2025
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|---|---|
| Authors: | Luo, Jiawen ; Cepni, Oguzhan ; Demirer, Rıza ; Gupta, Rangan |
| Published in: |
Journal of empirical finance. - [Erscheinungsort nicht ermittelbar] : Elsevier Science, ISSN 0927-5398, ZDB-ID 1496810-1. - Vol. 81.2025, Art.-No. 101595, p. 1-34
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| Subject: | Beta forecasting | Economic analysis | Forecast evaluation | Multivariate HAR model | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Multivariate Analyse | Multivariate analysis | Theorie | Theory | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Prognose | Forecast | Diversifikation | Diversification | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2025.101595 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015405336