Quantile forecast combinations in realised volatility prediction
Loukia Meligkotsidou, Ekaterini Panopoulou, Ioannis D. Vrontos & Spyridon D. Vrontos
| Year of publication: |
2019
|
|---|---|
| Authors: | Meligkotsidou, Loukia ; Panopulu, Aikaterinē ; Vrontos, Ioannis D. ; Vrontos, Spyridon D. |
| Published in: |
Journal of the Operational Research Society. - London : Taylor and Francis, ISSN 1476-9360, ZDB-ID 2007775-0. - Vol. 70.2019, 10, p. 1720-1733
|
| Subject: | Forecasting | realised volatility | forecast combination | predictive quantile regression | subset quantile regressions | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Regressionsanalyse | Regression analysis | Theorie | Theory | Prognose | Forecast | ARCH-Modell | ARCH model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/01605682.2018.1489354 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012214766