Forecasting Volatility with Many Predictors
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Publication:4687357
DOI10.1002/for.2268zbMath1397.62345OpenAlexW1857370433MaRDI QIDQ4687357
Publication date: 11 October 2018
Published in: Journal of Forecasting (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/for.2268
dimension reductionconditional heteroskedasticityGARCH modelvolatility predictorseffective covariate
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