A Model Confidence Set approach to the combination of multivariate volatility forecasts
Alessandra Amendola, Manuela Braione, Vincenzo Candila, Giuseppe Storti
| Year of publication: |
2020
|
|---|---|
| Authors: | Amendola, Alessandra ; Braione, Manuela ; Candila, Vincenzo ; Storti, Giuseppe |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 36.2020, 3, p. 873-891
|
| Subject: | Multivariate volatility | Model Confidence Set | Realized covariances | Forecast combination | MGARCH | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Theorie | Theory | Multivariate Analyse | Multivariate analysis | ARCH-Modell | ARCH model | Modellierung | Scientific modelling | Aktienmarkt | Stock market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2019.10.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012496876