Optimal Multi-Step-Ahead Prediction of ARCH/GARCH Models and NoVaS Transformation
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- Rangan Gupta & Sayar Karmakar & Christian Pierdzioch, 2022. "Safe Havens, Machine Learning, and the Sources of Geopolitical Risk: A Forecasting Analysis Using Over a Century of Data," Working Papers 202201, University of Pretoria, Department of Economics.
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Keywords
bootstrap; L 1 and L 2 measures; GARCH(1; 1); NoVaS transformation; multi-step prediction; Monte Carlo simulation;All these keywords.
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