The role of uncertainty in forecasting volatility comovements across stock markets
Year of publication: |
2023
|
---|---|
Authors: | Bucci, Andrea ; Palomba, Giulio ; Rossi, Eduardo |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 125.2023, p. 1-19
|
Subject: | Forecast accuracy | Forecasting realized covariances | Nonlinear models | Smooth transition | Uncertainty measures | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Aktienmarkt | Stock market | Korrelation | Correlation | Börsenkurs | Share price | Schätzung | Estimation | Nichtlineare Regression | Nonlinear regression | Risiko | Risk |
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