Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction
Alessandra Amendola and Giuseppe Storti
| Year of publication: |
2015
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|---|---|
| Authors: | Amendola, Alessandra ; Storti, Giuseppe |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 34.2015, 2, p. 83-91
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| Subject: | forecast combination | volatility | multivariate GARCH | realized covariance matrices | predictive ability | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Multivariate Analyse | Multivariate analysis | Korrelation | Correlation | Modellierung | Scientific modelling | Zeitreihenanalyse | Time series analysis | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011305317