Better the devil you know: improved forecasts from imperfect models

DOI10.1016/J.JECONOM.2024.105767MaRDI QIDQ6573801zbMATH OpenFDO

Authors Dong Hwan Oh, Andrew J. Patton

Publication date 17 July 2024

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2024.105767

zbMATH Keywords

local maximum likelihoodmodel misspecificationvolatility forecasting

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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