Quantile forecast combinations in realised volatility prediction.
Loukia MeligkotsidouEkaterini PanopoulouIoannis D. VrontosSpyridon D. VrontosPublished in: J. Oper. Res. Soc. (2019)
Keyphrases
- prediction accuracy
- autoregressive conditional heteroscedasticity
- predictive model
- financial time series
- exponential smoothing
- arima model
- failure prediction
- grey model
- prediction model
- garch model
- box jenkins
- load forecasting
- stock price
- radial basis function
- stock market
- short term
- machine learning
- chaotic time series
- phase space reconstruction
- chinese stock market
- stock index futures
- autoregressive integrated moving average
- decision trees