An alternative method for forecasting price volatility by combining models

DOI10.1080/03610918.2015.1124115MaRDI QIDQ5373882zbMATH OpenOpenAlexFDO

Authors

Publication date 27 October 2017

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2015.1124115

zbMATH Keywords

CDCcombined modelsGARCHKalman filternonlinear time-series modelSVvolatility

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cited in

(5)

• Forecasting volatility using combination across estimation windows: an application to S\&P500 stock market index
• Forecasting volatility for the stock market: a new hybrid model
• An Alternative Methodology for Combining Different Forecasting Models
• An alternative method to estimate parameters in modelling the behaviour of commodity prices
• Forecasts of wholesale food price indices through Gaussian process regressions

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