Multiple days ahead realized volatility forecasting : single, combined and average forecasts
Year of publication: |
2018
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Authors: | Degiannakis, Stavros |
Published in: |
Global finance journal. - Amsterdam [u.a.] : Elsevier Inc., ISSN 1044-0283, ZDB-ID 1117243-5. - Vol. 36.2018, p. 41-61
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Subject: | Averaging forecasts | Combining forecasts | Heterogeneous autoregressive | Intra-day data | Long memory | Model confidence set | Predictive ability | Realized volatility | Ultra-high frequency | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Modellierung | Scientific modelling | Prognose | Forecast | Kapitaleinkommen | Capital income | Schätzung | Estimation |
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