Penalized Averaging of Quantile Forecasts from GARCH Models with Many Exogenous Predictors
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DOI: 10.1007/s10614-022-10289-9
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More about this item
Keywords
Encompassing; Hybridization; Penalized quantile averaging; Quantile forecasting; Tick loss function;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
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