Forecasting realized volatility in a changing world : a dynamic model averaging approach
Yudong Wang, Feng Ma, Yu Wei, Chongfeng Wu
| Year of publication: |
March 2016
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|---|---|
| Authors: | Wang, Yudong ; Ma, Feng ; Wei, Yu ; Wu, Chongfeng |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 64.2016, p. 136-149
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| Subject: | S&P 500 index | Realized volatility | Dynamic model averaging | Time-varying parameters | Portfolio | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Welt | World | 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.jbankfin.2015.12.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011634282