A GMM procedure for combining volatility forecasts
From MaRDI portal
Publication:1023635
DOI10.1016/j.csda.2007.10.001zbMath1452.62739OpenAlexW1997022452MaRDI QIDQ1023635
Alessandra Amendola, Giuseppe Storti
Publication date: 12 June 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2007.10.001
Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items
Correcting and combining time series forecasters, Implied volatility in oil markets, Calibration of a path-dependent volatility model: empirical tests, Copulas-based time series combined forecasters, Editorial: Special issue on statistical and computational methods in finance
Cites Work
- Financial econometric analysis at ultra-high frequency: Data handling concerns
- Consistent ranking of volatility models
- Handbook of economic forecasting. Volume 1
- Volatility forecast comparison using imperfect volatility proxies
- Minimum distance estimation of GARCH(1,1) models
- Comparison of nonnested asymmetric heteroskedastic models
- GARCH (1,1) processes are near epoch dependent
- Generalized autoregressive conditional heteroscedasticity
- Modeling volatility persistence of speculative returns: a new approach
- Can GARCH Models Capture Long-Range Dependence?
- MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Automatic Lag Selection in Covariance Matrix Estimation
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Tests of Conditional Predictive Ability
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
- A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
- Volatility Components and Long Memory-Effects Revisited
- Tests of equal forecast accuracy and encompassing for nested models
