Forecasting with GARCH models under structural breaks: An approach based on combinations across estimation windows
Author:
Affiliation:
1. Department of Economics, University of Roma Tre (Italy), SOSE-Soluzione Per il Sistema Economico Spa, Rome, Italy
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610918.2018.1520876
Reference26 articles.
1. Combining forecasts: The end of the beginning or the beginning of the end?
2. Structural Breaks in Financial Time Series
3. IMPROVING FORECAST ACCURACY BY COMBINING RECURSIVE AND ROLLING FORECASTS
4. Modeling The persistence Of Conditional Variances: A Comment
5. Modelling the persistence of conditional variances
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