The role of implied volatility in volatility combining forecasts
Jen Sim Ho, Wei Chong Choo, Shui Hooi Boon, Cheong Kin Wan, Yuruixian Zhang
| Year of publication: |
2024
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|---|---|
| Authors: | Ho, Jen Sim ; Choo, Wei Chong ; Boon, Shui Hooi ; Wan, Cheong Kin ; Zhang, Yuruixian |
| Published in: |
International journal of economics and business research : IJEBR. - Genève [u.a.] : Inderscience Enterprises, ISSN 1756-9869, ZDB-ID 2537709-7. - Vol. 28.2024, 2, p. 171-186
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| Subject: | GARCH | implied volatility | smooth transition exponential smoothing | STES | volatility combining forecasts | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Theorie | Theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJEBR.2024.140794 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015063337