GARCHX-NoVaS : a model-free approach to incorporate exogenous variables
Kejin Wu (University of California San Diego), Sayar Karmakar (University of Florida), Rangan Gupta (University of Pretoria)
| Year of publication: |
[2024]
|
|---|---|
| Authors: | Wu, Kejin ; Karmakar, Sayar ; Gupta, Rangan |
| Publisher: |
Pretoria, South Africa : Department of Economics, University of Pretoria |
| Subject: | Volatility forecasting | Model-free prediction | GARCH | GARCHX | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
freely available