Forecasting realized volatility : does anything beat linear models?
Rafael R. Branco, Alexandre Rubesam, Mauricio Zevallos
| Year of publication: |
2024
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| Authors: | Branco, Rafael R. ; Rubesam, Alexandre ; Zevallos, Mauricio |
| Published in: |
Journal of empirical finance. - [Erscheinungsort nicht ermittelbar] : Elsevier Science, ISSN 0927-5398, ZDB-ID 1496810-1. - Vol. 78.2024, Art.-No. 101524, p. 1-22
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| Subject: | Volatility forecasting | Machine learning | Realized volatility | Model confidence set | Value-at-Risk | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Theorie | Theory | Risikomaß | Risk measure | Künstliche Intelligenz | Artificial intelligence | Kapitaleinkommen | Capital income | Wechselkurs | Exchange rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2024.101524 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015101660