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Chapter 15 Volatility and Correlation Forecasting

Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - 2006

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

On the Aggregation of Probability Assessments : Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates

Diebold, Francis X. - 2021

We propose methods for constructing regularized mixtures of density forecasts. We explore a variety of objectives and regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate density forecasts. All individual inflation forecasters (even...

Persistent link: https://www.econbiz.de/10013228126

On the Aggregation of Probability Assessments : Regularized Mixtures of Predictive Densities for Eurozone Inﬂation and Real Interest Rates

Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - 2021

We propose methods for constructing regularized mixtures of density forecasts. We explore a variety of objectives and regularization penalties, and we use them in a substantive exploration of Eurozone inﬂation and real interest rate density forecasts. All individual inﬂation forecasters...

Persistent link: https://www.econbiz.de/10013242112