Modeling and Forecasting Aggregate Stock Market Volatility in Unstable Environments using Mixture Innovation Regressions
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DOI: 10.1002/for.2466
Abstract: We examine whether it is possible to improve volatility forecasts by simultaneously accounting for parameter instability and model uncertainty. Changes in the regression coefficients and/or the error variance are driven by mixture distributions for state… read more here.
Keywords: volatility; stock market; modeling forecasting; mixture ... See more keywords