Politis, Dimitris N; Thomakos, Dimitrios D - Department of Economics, University of California-San … - 2008
In this paper we present several new ¯ndings on the NoVaS transformation approach for volatility forecasting introduced by Politis (2003a,b, 2007). In particular: (a) we present a new method for accurate volatility forecasting using NoVaS ; (b) we introduce a \time- varying" version of NoVaS...