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A model-free approach to do long-term volatility forecasting and its variants
Volatility forecasting is important in financial econometrics and is mainly based on the application of various GARCH-type models. However, it is difficult to choose a specific GARCH model that works uniformly well across datasets, and the traditional methods are unstable when dealing with highly vo...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2023
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9974404/ https://www.ncbi.nlm.nih.gov/pubmed/36873387 http://dx.doi.org/10.1186/s40854-023-00466-6 |