2014
Improving asset price prediction when all models are false
Publication
Publication
Journal of Financial Econometrics , Volume 12 - Issue 2 p. 278- 306
Additional Metadata | |
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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 | |
no subscription | |
Organisation | 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
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