Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions

In this work we provide the findings of a forecast combination analysis carried out on the realized volatility series of three market indexes (DAX, CAC, and AEX). Two volatility types (5 minutes, kernel) have been considered. Different loss functions suggest that forecasts computed through combining...

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Bibliographic Details
Main Authors: Giovanni De Luca, Giampiero M. Gallo, Danilo Carità
Format: Article
Language:English
Published: SGH Warsaw School of Economics, Collegium of Economic Analysis 2018-01-01
Series:Econometric Research in Finance
Online Access:https://erfin.org/journal/index.php/erfin/article/view/18