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  • 标题:Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions
  • 本地全文:下载
  • 作者:Giovanni De Luca ; Giampiero M. Gallo ; Danilo Carità
  • 期刊名称:Econometric Research in Finance
  • 印刷版ISSN:2451-1935
  • 电子版ISSN:2451-2370
  • 出版年度:2017
  • 卷号:2
  • 期号:2
  • 页码:99-111
  • DOI:10.33119/ERFIN.2017.2.2.3
  • 摘要:In this work we provide the findings of a forecast combination analysis carried out on the realized volatility series of three market indexes (DAX, CAC, and AEX). Two volatility types (5 minutes, kernel) have been considered. Different loss functions suggest that forecasts computed through combining models are generally more accurate than those provided by single models. However, the choice of the latter can significantly affect the goodness of the results.
  • 其他摘要:In this work we provide the findings of a forecast combination analysis carried out on the realized volatility series of three market indexes (DAX, CAC, and AEX). Two volatility types (5 minutes, kernel) have been considered. Different loss functions suggest that forecasts computed through combining models are generally more accurate than those provided by single models. However, the choice of the latter can significantly affect the goodness of the results.
  • 关键词:realized volatility; forecast combinations; loss functions
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