Golosnoy, Vasyl; Hamid, Alain; Okhrin, Yarema - In: Journal of Banking & Finance 40 (2014) C, pp. 321-329
In this paper we adapt the empirical similarity (ES) concept for the purpose of combining volatility forecasts originating from different models. Our ES approach is suitable for situations where a decision maker refrains from evaluating success probabilities of forecasting models but prefers to...