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Direct Versus Iterated Multiperiod Volatility Forecasts
Annual Review of Financial Economics ( IF 5.0 ) Pub Date : 2019-12-26 , DOI: 10.1146/annurev-financial-110217-022808 Eric Ghysels 1, 2, 3 , Alberto Plazzi 4 , Rossen Valkanov 5 , Antonio Rubia 6 , Asad Dossani 7
Annual Review of Financial Economics ( IF 5.0 ) Pub Date : 2019-12-26 , DOI: 10.1146/annurev-financial-110217-022808 Eric Ghysels 1, 2, 3 , Alberto Plazzi 4 , Rossen Valkanov 5 , Antonio Rubia 6 , Asad Dossani 7
Affiliation
Multiperiod-ahead forecasts of returns’ variance are used in most areas of applied finance where long-horizon measures of risk are necessary. Yet, the major focus in the variance forecasting litera...
中文翻译:
直接对迭代多周期波动率预测
在大多数需要长期风险度量的应用金融领域中,都会使用多周期的收益差异预测。然而,方差预测文学的主要重点是...
更新日期:2019-12-26
中文翻译:
直接对迭代多周期波动率预测
在大多数需要长期风险度量的应用金融领域中,都会使用多周期的收益差异预测。然而,方差预测文学的主要重点是...