A GMM procedure for combining volatility forecasts

DOI10.1016/J.CSDA.2007.10.001MaRDI QIDQ1023635zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

GARCHforecast combinationvolatilityGMM

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Automatic Lag Selection in Covariance Matrix Estimation
• Can GARCH Models Capture Long-Range Dependence?
• Comparison of nonnested asymmetric heteroskedastic models
• Consistent ranking of volatility models
• Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
• Financial econometric analysis at ultra-high frequency: Data handling concerns
• GARCH (1,1) processes are near epoch dependent
• Generalized autoregressive conditional heteroscedasticity
• Handbook of economic forecasting. Volume 1
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
• Minimum distance estimation of GARCH(1,1) models
• Modeling volatility persistence of speculative returns: a new approach
• Tests of Conditional Predictive Ability
• Tests of equal forecast accuracy and encompassing for nested models
• Volatility Components and Long Memory-Effects Revisited
• Volatility forecast comparison using imperfect volatility proxies

Cited in

(10)

• Correcting and combining time series forecasters
• Using information quality for volatility model combinations
• Forecasting volatility using combination across estimation windows: an application to S\&P500 stock market index
• Editorial: Special issue on statistical and computational methods in finance
• scientific article; zbMATH DE number 5669994 (Why is no real title available?)
• Combining estimating functions for volatility
• Calibration of a path-dependent volatility model: empirical tests
• Copulas-based time series combined forecasters
• Implied volatility in oil markets
• An alternative method for forecasting price volatility by combining models

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