EGARCH, Intradaily returns, Model combination, Optimal pool, S&P 500, Stochastic volatility, VIX
dx.doi.org/10.1093/jjfinec/nbt001, hdl.handle.net/1765/82003
Journal of Financial Econometrics
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Erasmus University Rotterdam

Durham, G, & Geweke, J.F. (2014). Improving asset price prediction when all models are false. Journal of Financial Econometrics, 12(2), 278–306. doi:10.1093/jjfinec/nbt001