Improving variance forecasts : the role of Realized Variance features
Ioannis Papantonis, Leonidas Rompolis, Elias Tzavalis
| Year of publication: |
2023
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|---|---|
| Authors: | Papantonis, Ioannis ; Rompolis, Leonidas ; Tzavalis, Elias |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 39.2023, 3, p. 1221-1237
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| Subject: | EGARCH | Forecasting | HAR | Heterogeneous Autoregressive | MLE | Realized Variance | Varianzanalyse | Analysis of variance | Prognoseverfahren | Forecasting model | Volatilität | Volatility | ARCH-Modell | ARCH model | Theorie | Theory | Prognose | Forecast | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2022.05.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014465267