Volatility prediction comparison via robust volatility proxies : an empirical deviation perspective
Weichen Wang, Ran An, Ziwei Zhu
| Year of publication: |
2024
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|---|---|
| Authors: | Wang, Weichen ; An, Ran ; Zhu, Ziwei |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ZDB-ID 1460617-3. - Vol. 239.2024, 2, Art.-No. 105633, p. 1-29
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| Subject: | Volatility forecasting | Risk management | Crypto market | Huber minimization | Robust loss function | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Risikomanagement | Robustes Verfahren | Robust statistics | ARCH-Modell | ARCH model | Finanzmarkt | Financial market | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2023.105633 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015074492