Geweke, John; Amisano, Gianni - 2009
returns with prediction models from the ARCH, stochastic volatility and Markov mixture families. In this example models that … substantially outperform their best components. -- Forecasting ; GARCH ; log scoring ; Markov mixture ; model combination; S&P 500 …, stochastic volatility and Markov mixture families. In this example
models that are clearly inferior by the usual scoring …