Politis, Dimitris; Thomakos, Dimitrios - Department of Economics, University of Peloponnese - 2007
In this paper we contribute several new results on the NoVaS transformation approach for volatility forecasting … present a new method for volatility forecasting using NoVaS ; (c) we show that the NoVaS methodology is applicable in … use of NoVaS for a number of real datasets and compare the forecasting performance of NoVaS -based volatility forecasts …