Modeling and forecasting aggregate stock market volatility in unstable environments using mixture innovation regressions

Nima Nonejad*

*Corresponding author

Research output: Contribution to journalJournal articleResearchpeer-review

Original languageEnglish
JournalJournal of Forecasting
Volume36
Issue number6
Pages (from-to)718-740
Number of pages23
ISSN0169-2070
DOIs
Publication statusPublished - Sep 2017

Keywords

  • Mixture innovation regressions
  • Model uncertainty
  • Parameter instability
  • Stock market volatility

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