Hierarchical forecasting based on AR-GARCH model in a coherent structure
type: Item
instance of: scholarly article
title: Hierarchical forecasting based on AR-GARCH model in a coherent structure
zbMATH Open document ID: 1109.90321
author: So Young Sohn
author: Michael K. Lim
published in: European Journal of Operational Research
publication date: 2006-11-15T00:00:00Z
Mathematics Subject Classification ID: 90B60
zbMATH DE Number: 5073103
zbMATH Keywords: hierarchical forecasting
zbMATH Keywords: AR-Garch model
zbMATH Keywords: Dow Jones industrial average
zbMATH Keywords: coherent structure
MaRDI profile type: Publication
full work available at URL: j.ejor.2005.08.019
OpenAlex ID: W2049772220
cites work: Forecasting exchange rate volatility using conditional variance models selected by information criteria
cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
cites work: An investigation of aggregate variable time series forecast strategies with specific subaggregate time series statistical correlation
cites work: Stable GARCH models for financial time series
DOI: 10.1016/J.EJOR.2005.08.019
description: scientific article; zbMATH DE number 5073103