Realized volatility forecasting based on dynamic quantile model averaging
Zongwu Cai, Chaoqun Ma, Xianhua Mi
| Year of publication: |
September 25, 2020
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| Authors: | Cai, Zongwu ; Ma, Chaoqun ; Mi, Xianhua |
| Publisher: |
Lawrence, Kansas : University of Kansas, Department of Economics |
| Subject: | Dynamic moving averaging | Model uncertainty | Fat tails | Heterogeneity | Quantileregression | Realized volatility | Time-varying parameters | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution |
freely available
| Extent: | 1 Online-Ressource (circa 41 Seiten) Illustrationen |
|---|---|
| Series: | Working papers series in theoretical and applied economics. - Lawrence, Kan., ZDB-ID 2407643-0. - Vol. 2020, 16 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012312856