Mammen, Enno; Nielsen, Jens Perch; Scholz, Michael; … - In: Risks : open access journal 7 (2019) 4/113, pp. 1-22
In this paper, we apply machine learning to forecast the conditional variance of long-term stock returns measured in … inflation rate. In particular, we apply in a two-step procedure a fully nonparametric local-linear smoother and choose the set … of covariates as well as the smoothing parameters via cross-validation. We find that volatility forecastability is much …
