Lee, Tae-Hwy; Huang, Huiyu - Department of Economics, University of California-Riverside - 2014
one model. We consider subsample averaging, bootstrap averaging, forecast averaging methods for the indirect case, and … in forecasting downside risk. Our empirical results show that the averaging methods (subsample averaging, bootstrap … averaging, forecast averaging), which serve as different ways of forming the ensemble average from using high frequency intraday …
