Model Uncertainty and Forecast Combination in High-Dimensional Multivariate Volatility Prediction-Reference-Cited by-同舟云学术

Model Uncertainty and Forecast Combination in High-Dimensional Multivariate Volatility Prediction

Published:2015-01-09 Issue:2 Volume:34 Page:83-91
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:J. Forecast.

Author:

Amendola Alessandra¹,Storti Giuseppe¹

Affiliation:

1. Department of Economics and Statistics; University of Salerno; Fisciano Italy

Funder

Ministero dell’Istruzione, dell’Università e della Ricerca

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Reference17 articles.

1. A GMM procedure for combining volatility forecasts;Amendola;Computational Statistics and Data Analysis,2008

2. Amendola A Storti G 2009 Combination of multivariate volatility forecasts Berlin

3. Continuous-time models, realized volatilities and testable distributional implications for daily stock returns;Andersen;Journal of Applied Econometrics,2010

4. Bauwens L Storti G Violante F 2012 Dynamic conditional correlation models for realized covariance matrices Belgium

5. Clements A Scott A Silvennoinen A 2012 Forecasting multivariate volatility in larger dimensions: some practical issues

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