Volatility Forecast Combinations using Asymmetric Loss Functions
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- Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2016. "A boosting approach to forecasting the volatility of gold-price fluctuations under flexible loss," Resources Policy, Elsevier, vol. 47(C), pages 95-107.
More about this item
Keywordsasymmetric loss functions; forecast combinations; realized volatility; volatility forecasting.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2012-06-25 (Econometrics)
- NEP-ETS-2012-06-25 (Econometric Time Series)
- NEP-FOR-2012-06-25 (Forecasting)
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