Realized volatility forecasting based on dynamic quantile model averaging
Zongwu Cai, Chaoqun Ma, Xianhua Mi
| Year of publication: |
September 25, 2020
|
|---|---|
| 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 |
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