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Volatility has been one of the most active and successful areas of research in time series econometrics and economic … procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized volatility …
Persistent link: https://www.econbiz.de/10014023691
Forecast combinations have frequently been found in empirical studies to produce better forecasts on average than methods based on the ex ante best individual forecasting model. Moreover, simple combinations that ignore correlations between forecast errors often dominate more refined combination...
Persistent link: https://www.econbiz.de/10014023702