Volatility forecasting with exponential weighting, smooth transition and robust methods
This thesis focuses on the forecasting of the volatility in financial returns. Our first main contribution is the introduction of two new approaches for combining volatility forecasts. One approach involves the use of discounted weighted least square. The second proposed approach is smooth transitio...
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University of Oxford
2008
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.489421 |
| Summary: | This thesis focuses on the forecasting of the volatility in financial returns. Our first main contribution is the introduction of two new approaches for combining volatility forecasts. One approach involves the use of discounted weighted least square. The second proposed approach is smooth transition (ST) combining, which allows the combining weights to change gradually and smoothly over time in response to changes in suitably chosen transition variables. |
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