Volatility prediction comparison via robust volatility proxies : an empirical deviation perspective
Year of publication: |
2024
|
---|---|
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
|
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 |
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