FORECASTING VOLATILITY IN THE PRESENCE OF MODEL INSTABILITY
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Publication:2810422
DOI10.1111/j.1467-842X.2010.00576.xzbMath1337.91062OpenAlexW2106878673MaRDI QIDQ2810422
John M. Maheu, Jonathan J. Reeves, Xuan Xie
Publication date: 1 June 2016
Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-842x.2010.00576.x
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Cites Work
- Predicting volatility: getting the most out of return data sampled at different frequencies
- Generalized autoregressive conditional heteroscedasticity
- Bayesian estimation of an autoregressive model using Markov chain Monte Carlo
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Efficient Bayesian Inference for Dynamic Mixture Models
- The Distribution of Realized Exchange Rate Volatility
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
- Modeling and Forecasting Realized Volatility
- End-of-Sample Instability Tests
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