| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 417286 | Computational Statistics & Data Analysis | 2008 | 14 Pages |
Abstract
A novel approach to the combination of volatility forecasts is discussed. The proposed procedure makes use of the generalized method of moments (GMM) for estimating the combination weights. The asymptotic properties of the GMM estimator are derived while its finite sample properties are assessed by means of a simulation study. The results of an application to a time series of daily returns on the S&P500 are presented.
Related Topics
Physical Sciences and Engineering
Computer Science
Computational Theory and Mathematics
Authors
Alessandra Amendola, Giuseppe Storti,