Combining Volatility Forecasts of Duration-Dependent Markov-Switching Models

Douglas Eduardo Turatti^*, Fernando Henrique de Paula e Silva Mendes, João H. G. Mazzeu

^*Kontaktforfatter

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

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@article{49af40075b774013b1954c700edd84a5,

title = "Combining Volatility Forecasts of Duration-Dependent Markov-Switching Models",

keywords = "conditional volatility models, duration-dependent Markov-switching models, forecast combination, forecasting volatility",

author = "Turatti, {Douglas Eduardo} and Mendes, {Fernando Henrique de Paula e Silva} and Mazzeu, {Jo{\~a}o H. G.}",

year = "2024",

language = "English",

journal = "Journal of Forecasting",

issn = "0277-6693",

publisher = "Wiley",

}

TY - JOUR

T1 - Combining Volatility Forecasts of Duration-Dependent Markov-Switching Models

AU - Turatti, Douglas Eduardo

AU - Mendes, Fernando Henrique de Paula e Silva

AU - Mazzeu, João H. G.

PY - 2024

Y1 - 2024

KW - conditional volatility models

KW - duration-dependent Markov-switching models

KW - forecast combination

KW - forecasting volatility

M3 - Journal article

SN - 0277-6693

JO - Journal of Forecasting

JF - Journal of Forecasting

ER -