Volatility forecasting via MIDAS, HAR and their combination : an empirical comparative study for IBOVESPA
Douglas G. Santos and Flavio A. Ziegelmann
| Year of publication: |
2014
|
|---|---|
| Authors: | Santos, Douglas Gomes dos ; Ziegelmann, Flávio A. |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 33.2014, 4, p. 284-299
|
| Subject: | realized variance | volatility forecasting | MIDAS regressions | HAR regressions | forecast combination | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Regressionsanalyse | Regression analysis | ARCH-Modell | ARCH model | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010425741