Forecasting realized volatility models:the benefits of bagging and nonlinear specifications
Download full text from publisher
References listed on IDEAS
- Lutz Kilian & Atsushi Inoue, 2004. "Bagging Time Series Models," Econometric Society 2004 North American Summer Meetings 110, Econometric Society.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- David E. Allen & Michael McAleer & Marcel Scharth, 2009.
"Realized Volatility Risk,"
CIRJE-F-693, CIRJE, Faculty of Economics, University of Tokyo.
- David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," KIER Working Papers 753, Kyoto University, Institute of Economic Research.
- David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized volatility risk," Documentos de Trabajo del ICAE 2013-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," Working Papers in Economics 10/26, University of Canterbury, Department of Economics and Finance.
- David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CARF F-Series CARF-F-197, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2010.
- David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized Volatility Risk," Tinbergen Institute Discussion Papers 13-092/III, Tinbergen Institute.
- Allen, David E. & McAleer, Michael & Scharth, Marcel, 2011. "Monte Carlo option pricing with asymmetric realized volatility dynamics," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1247-1256.
- Eric Hillebrand & Tae-Hwy Lee & Marcelo C. Medeiros, 2012.
"Let's Do It Again: Bagging Equity Premium Predictors,"
CREATES Research Papers
2012-41, Department of Economics and Business Economics, Aarhus University.
- Erik Hillebrand & Tae-Hwy Lee & Marcelo Cunha Medeiros, 2012. "Let´s do it again: bagging equity premium predictors," Textos para discussão 604, Department of Economics PUC-Rio (Brazil).
- Francesco Audrino & Marcelo C. Medeiros, 2008. "Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process," University of St. Gallen Department of Economics working paper series 2008 2008-16, Department of Economics, University of St. Gallen.
- Francesco Audrino & Marcelo C. Medeiros, 2011.
"Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 26(6), pages 999-1022, September.
- Francesco Audrino & Marcelo Cunha Medeiros, 2010. "Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging," Textos para discussão 570, Department of Economics PUC-Rio (Brazil).
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-08-27 (All new papers)
- NEP-ECM-2007-08-27 (Econometrics)
- NEP-ETS-2007-08-27 (Econometric Time Series)
- NEP-FOR-2007-08-27 (Forecasting)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rio:texdis:547. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://edirc.repec.org/data/dpucrbr.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.