A GMM procedure for combining volatility forecasts

Computational Statistics and Data Analysis

Volumn 52, Issue 6, 2008, Pages 3047-3060

  Amendola, Alessandra ^a   Storti, Giuseppe ^a  

^a UNIVERSITY OF SALERNO   (Italy)

Author keywords

Forecast combination; GARCH; GMM; Volatility

Indexed keywords

COMPUTER SIMULATION; FORECASTING; PARAMETER ESTIMATION; TIME SERIES ANALYSIS;

FORECAST COMBINATION; GENERALIZED METHOD OF MOMENTS (GMM);

METHOD OF MOMENTS;

EID: 39049154370     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2007.10.001     Document Type: Article

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