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Combination of multivariate volatility forecasts

Amendola, Alessandra; Storti, Giuseppe - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

This paper proposes a novel approach to the combination of conditional covariance matrix forecasts based on the use of the Generalized Method of Moments (GMM). It is shown how the procedure can be generalized to deal with large dimensional systems by means of a two-step strategy. The finite...

Persistent link: https://www.econbiz.de/10005207941

Forecasting value-at-risk and expected shortfall in emerging market : does forecast combination help?

Trung Hai Le - In: The journal of risk finance : JRF 25 (2024) 1, pp. 160-177

Persistent link: https://www.econbiz.de/10014504681

Exponential smoothing of realized portfolio weights

Golosnoy, Vasyl; Gribisch, Bastian; Seifert, Miriam - In: Journal of empirical finance 53 (2019), pp. 222-237

Persistent link: https://www.econbiz.de/10012171651

Out-of-sample prediction of the oil futures market volatility : a comparison of new and traditional combination approaches

Zhang, Yaojie; Ma, Feng; Wei, Yu - In: Energy economics 81 (2019), pp. 1109-1120

Persistent link: https://www.econbiz.de/10012173075

Modeling uncertainty in financial tail risk : a forecast combination and weighted quantile approach

Storti, Giuseppe; Wang, Chao - In: Journal of forecasting 42 (2023) 7, pp. 1648-1663

Persistent link: https://www.econbiz.de/10014432743

Combination of multivariate volatility forecasts

Amendola, Alessandra; Storti, Giuseppe - 2009

This paper proposes a novel approach to the combination of conditional covariance matrix forecasts based on the use of the Generalized Method of Moments (GMM). It is shown how the procedure can be generalized to deal with large dimensional systems by means of a two-step strategy. The finite...

Persistent link: https://www.econbiz.de/10010263760

Do ESG ETFs provide downside risk protection during Covid-19? : evidence from forecast combination models

Huang, Yujun - In: International review of financial analysis 94 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10014543986

Predicting recessions with leading indicators : model averaging and selection over the business cycle

Berge, Travis J. - In: Journal of forecasting 34 (2015) 6, pp. 455-471

Persistent link: https://www.econbiz.de/10011343630

Forecasting national recessions using state-level data

Owyang, Michael T.; Piger, Jeremy Max; Wall, Howard J. - In: Journal of money, credit and banking : JMCB 47 (2015) 5, pp. 847-866

Persistent link: https://www.econbiz.de/10011345143

An early warning model for predicting credit booms using macroeconomic aggregates

Guarín, Alexander; González, Andrés; Skandalis, Daphné - In: Ensayos sobre política económica 32 (2014), pp. 77-86

Persistent link: https://www.econbiz.de/10011502932

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