Forecasting Volatility with MIDAS
Forecasting Volatility with MIDAS
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DOI:
10.1002/9781118272039.ch16
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发表时间:
2012-03
期刊:
影响因子:
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通讯作者:
Eric Ghysels;Rossen Valkanov
中科院分区:
文献类型:
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作者:
Eric Ghysels;Rossen Valkanov
This chapter contains sections titled:IntroductionMIDAS Regression Models and Volatility ForecastingLikelihood‐Based MethodsMultivariate ModelsConclusion