Robust volatility forecasts in the presence of structural breaks
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Cited by:
- Davide De Gaetano, 2016. "Forecast Combinations For Realized Volatility In Presence Of Structural Breaks," Departmental Working Papers of Economics - University 'Roma Tre' 0208, Department of Economics - University Roma Tre.
More about this item
Keywords
forecast combinations; volatility; structural breaks;NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2012-06-25 (Econometrics)
- NEP-ETS-2012-06-25 (Econometric Time Series)
- NEP-FMK-2012-06-25 (Financial Markets)
- NEP-FOR-2012-06-25 (Forecasting)
- NEP-RMG-2012-06-25 (Risk Management)
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