Forecasting the realized range-based volatility using dynamic model averaging approach
Jing Liu, Yu Wei, Feng Ma, M.I.M. Wahab
| Year of publication: |
February 2017
|
|---|---|
| Authors: | Liu, Jing ; Wei, Yu ; Ma, Feng ; Wahab, M. I. M. |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 61.2017, p. 12-26
|
| Subject: | Volatility forecasting | Realized range-based volatility | Dynamic model averaging | Combined models | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Theorie | Theory | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2016.11.020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011736682