Combining Volatility Forecasts of Duration-Dependent Markov-Switching Models

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

*Corresponding author for this work

Research output: Contribution to journalJournal articleResearchpeer-review

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Original languageEnglish
JournalJournal of Forecasting
ISSN0277-6693
Publication statusAccepted/In press - 2024

Keywords

  • conditional volatility models
  • duration-dependent Markov-switching models
  • forecast combination
  • forecasting volatility

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