Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria
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More about this item
Keywords
Forecasting; Shrinkage Estimation; FIC; MEM; GARCH; ACD;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2008-05-17 (Econometrics)
- NEP-ETS-2008-05-17 (Econometric Time Series)
- NEP-FMK-2008-05-17 (Financial Markets)
- NEP-FOR-2008-05-17 (Forecasting)
- NEP-RMG-2008-05-17 (Risk Management)
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