The role of uncertainty in forecasting volatility comovements across stock markets
Andrea Bucci, Giulio Palomba, Eduardo Rossi
| Year of publication: |
2023
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|---|---|
| Authors: | Bucci, Andrea ; Palomba, Giulio ; Rossi, Eduardo |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 125.2023, p. 1-19
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| Subject: | Forecast accuracy | Forecasting realized covariances | Nonlinear models | Smooth transition | Uncertainty measures | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Risiko | Risk | Aktienmarkt | Stock market | Korrelation | Correlation | Schätzung | Estimation | Börsenkurs | Share price | Nichtlineare Regression | Nonlinear regression | Theorie | Theory | Prognose | Forecast | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2023.106309 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014463541