A model-free approach to do long-term volatility forecasting and its variants
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DOI: 10.1186/s40854-023-00466-6
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- Kejin Wu & Sayar Karmakar & Rangan Gupta, 2024. "GARCHX-NoVaS: A Model-Free Approach to Incorporate Exogenous Variables," Working Papers 202425, University of Pretoria, Department of Economics.
- Kejin Wu & Sayar Karmakar & Rangan Gupta & Christian Pierdzioch, 2023. "Climate Risks and Stock Market Volatility Over a Century in an Emerging Market Economy: The Case of South Africa," Working Papers 202326, University of Pretoria, Department of Economics.
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Keywords
ARCH-GARCH; Model free; Aggregated forecasting;All these keywords.
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