Direct versus iterated multi-period volatility forecasts : why MIDAS is king
Year of publication: |
January 11, 2019 ; This draft: January 11, 2019
|
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Authors: | Ghysels, Eric ; Plazzi, Alberto ; Valkanov, Rossen I. ; Rubia, Antonio ; Dossani, Asad |
Publisher: |
Geneva : Swiss Finance Institute |
Subject: | volatility forecasting | multi-period forecasts | mixed-data sampling | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Theorie | Theory | ARCH-Modell | ARCH model | Prognose | Forecast | Stichprobenerhebung | Sampling |
Extent: | 1 Online-Ressource (circa 34 Seiten) Illustrationen |
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Series: | Research paper series / Swiss Finance Institute. - Geneva, ZDB-ID 2392286-2. - Vol. no 19, 02 Swiss Finance Institute Research Paper ; No. 19-02 (2019) |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | 10.2139/ssrn.3326606 [DOI] |
Classification: | G17 - Financial Forecasting ; C53 - Forecasting and Other Model Applications ; C52 - Model Evaluation and Testing ; C22 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
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