Multiple days ahead realized volatility forecasting : single, combined and average forecasts
Stavros Degiannakis
| Year of publication: |
2018
|
|---|---|
| Authors: | Degiannakis, Stavros |
| Published in: |
Global finance journal. - Amsterdam [u.a.] : Elsevier Inc., ISSN 1044-0283, ZDB-ID 1117243-5. - Vol. 36.2018, p. 41-61
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| Subject: | Averaging forecasts | Combining forecasts | Heterogeneous autoregressive | Intra-day data | Long memory | Model confidence set | Predictive ability | Realized volatility | Ultra-high frequency | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Prognose | Forecast | ARCH-Modell | ARCH model | ARMA-Modell | ARMA model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.gfj.2017.12.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012125013