دورية أكاديمية
Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions
| العنوان: | Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions |
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| المؤلفون: | Giovanni De Luca, Giampiero M. Gallo, Danilo Carità |
| المصدر: | Econometric Research in Finance, Vol 2, Iss 2, Pp 99-111 (2018) |
| بيانات النشر: | SGH Warsaw School of Economics, Collegium of Economic Analysis, 2018. |
| سنة النشر: | 2018 |
| المجموعة: | LCC:Finance |
| مصطلحات موضوعية: | Finance, HG1-9999 |
| الوصف: | In this work we provide the findings of a forecast combination analysis carried out on the realized volatility series of three market indexes (DAX, CAC, and AEX). Two volatility types (5 minutes, kernel) have been considered. Different loss functions suggest that forecasts computed through combining models are generally more accurate than those provided by single models. However, the choice of the latter can significantly affect the goodness of the results. |
| نوع الوثيقة: | article |
| وصف الملف: | electronic resource |
| اللغة: | English |
| تدمد: | 2451-1935 2451-2370 |
| العلاقة: | https://erfin.org/journal/index.php/erfin/article/view/18Test; https://doaj.org/toc/2451-1935Test; https://doaj.org/toc/2451-2370Test |
| DOI: | 10.33119/ERFIN.2017.2.2.3 |
| الوصول الحر: | https://doaj.org/article/0e599852da9248c3947808cfc3c83c6dTest |
| رقم الانضمام: | edsdoj.0e599852da9248c3947808cfc3c83c6d |
| قاعدة البيانات: | Directory of Open Access Journals |
| تدمد: | 24511935 24512370 |
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| DOI: | 10.33119/ERFIN.2017.2.2.3 |