Relative forecasting performance of volatility models: Monte Carlo evidence

DOI10.1080/14697688.2013.795675zbMath1281.91189OpenAlexW2009550281WikidataQ56609282 ScholiaQ56609282MaRDI QIDQ5397468

Leonardo Morales-Arias, Thomas C. H. Lux

Publication date: 20 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/30039

zbMATH Keywords

Monte Carlo methodsvalue at riskvolatility modellingmultifractal model of asset returns

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70)

Related Items (2)

Forecasting and trading high frequency volatility on large indices ⋮ Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model

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