Optimal combinations of realised volatility estimators

International Journal of Forecasting

Volumn 25, Issue 2, 2009, Pages 218-238

  Patton, Andrew J ^a,b   Sheppard, Kevin ^a,b  

^a UNIVERSITY OF OXFORD   (United Kingdom)

^b UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

Forecast combination; Forecast comparison; Realised variance; Volatility forecasting

Indexed keywords

EID: 61849165071     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2009.01.011     Document Type: Article

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