Improving asset price prediction when all models are false
Garland Durham; John Geweke
| Year of publication: |
2014
|
|---|---|
| Authors: | Durham, Garland ; Geweke, John |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 12.2014, 2, p. 278-306
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| Subject: | EGARCH | intradaily returns | model combination | optimal pool | S&P 500 | stochastic volatility | VIX | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process | Theorie | Theory | ARCH-Modell | ARCH model | CAPM | Schätzung | Estimation | Kapitalmarktrendite | Capital market returns |