Bernardi, Mauro; Bonaccolto, Giovanni; Caporin, Massimiliano - In: Macroeconomic forecasting in the era of big data : …, (pp. 127-160). 2020
This Chapter reviews the main classes of models that incorporate volatility, with a focus on the most recent advancements in the financial econometrics literature and on the challenges posed by the increased availability of data. There are limits to the feasibility of all models when the...
