Forecasting volatility using combination across estimation windows: An application to S&P500 stock market index-Reference-Cited by-同舟云学术

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Forecasting volatility using combination across estimation windows: An application to S&P500 stock market index

Published:2019 Issue:6 Volume:16 Page:7195-7216
ISSN:1551-0018
Container-title:Mathematical Biosciences and Engineering
language:en
Short-container-title:

Author:

De Gaetano Davide, ,

Publisher

American Institute of Mathematical Sciences (AIMS)

Subject

Applied Mathematics,Computational Mathematics,General Agricultural and Biological Sciences,Modeling and Simulation,General Medicine

Reference6 articles.

1. K. Assenmacher-Wesche and M. H. Pesaran, Forecasting the Swiss economy using VECX

2. D. De Gaetano, Forecast combinations in the presence of structural

3. D. De Gaetano, Forecast Combinations for Structural Breaks in

4. D. De Gaetano, Forecasting with GARCH models under structural

5. F. X. Diebold, Modelling the persistence of conditional

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1. Forecasting Method of Stock Market Volatility Based on Multidimensional Data Fusion;Wireless Communications and Mobile Computing;2022-04-25

2. Daily LGARCH model estimation using high frequency data;Data Science in Finance and Economics;2021

3. Daily nonparametric ARCH(1) model estimation using intraday high frequency data;AIMS Mathematics;2021

4. A bootstrap bias correction of long run fourth order moment estimation in the CUSUM of squares test;Journal of Statistical Computation and Simulation;2020-01-07

5. Special issue: Advances in Stochastic processes and Applications;Mathematical Biosciences and Engineering;2020

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