Forecasting stock return volatility using a robust regression model

DOI10.1002/for.2779zbMath1479.62084OpenAlexW3155577272MaRDI QIDQ5012734

Xianfeng Hao, Fanyi Meng, Yaojie Zhang, Mengxi He

Publication date: 25 November 2021

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2779

zbMATH Keywords

forecastingasset allocationHuber loss functionstock volatilityrobust regression model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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