Combining information at different frequencies in multivariate volatility prediction

MaRDI QIDQ3295343zbMATH OpenFDO

Authors Alessandra Amendola, Giuseppe Storti

Publication date 8 July 2020

zbMATH Keywords

forecast combinationmodel confidence setmultivariate GARCHrealized covariance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(3)

• Using information quality for volatility model combinations
• Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction
• Comparing and combining realized measure and implied volatility for volatility prediction

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