Forecast Combinations in the Presence of Structural Breaks: Evidence from U.S. Equity Markets
Realized volatility, building on the theory of a simple continuous time process, has recently received attention as a nonparametric ex-post estimate of the return variation. This paper addresses the problem of parameter instability due to the presence of structural breaks in realized volatility in t...
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| Format: | Article |
| Language: | English |
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MDPI AG
2018-03-01
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| Series: | Mathematics |
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| Online Access: | http://www.mdpi.com/2227-7390/6/3/34 |