Statistical and economic performance of combination methods for forecasting crude oil price volatility
Author:
Affiliation:
1. Department of Economics, School of Economics & Technology, University of Peloponnese, Tripolis, Greece
2. Department of Business Administration, School of Management, University of Peloponnese, Tripolis, Greece
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00036846.2021.2001425
Reference54 articles.
1. An empirical analysis of the accuracy of SA, OLS, ERLS and NRLS combination forecasts
2. A Comparison of Different Procedures for Combining High-Dimensional Multivariate Volatility Forecasts
3. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
4. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
5. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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