Volatility Forecasting via MIDAS, HAR and their Combination: An Empirical Comparative Study for IBOVESPA
By Douglas G. Santos, Flávio Augusto Ziegelmann. 2014
48 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/0ef5d4f3108c9167b2cc9b84a7f96b616ebe2163
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In Economics and Econometrics
In Finance
Citations in the corpus
- Forecasting the realized range-based volatility using dynamic model averaging approach (2017, background): “Hence, some studiesdiscuss how to combine a set of forecasts to produce superior composite forecasts (Liu and Maheu, 2008; Santos and Ziegelmann, 2014).”