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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Bibliographic Details
Main Author:	Choo, Wei-Chong
Published:	University of Oxford 2008
Subjects:	332.632
Online Access:	http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.489421

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spelling	ndltd-bl.uk-oai-ethos.bl.uk-4894212015-03-20T06:30:14ZVolatility forecasting with exponential weighting, smooth transition and robust methodsChoo, Wei-Chong2008This 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.332.632University of Oxfordhttp://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.489421Electronic Thesis or Dissertation
collection	NDLTD
sources	NDLTD
topic	332.632
spellingShingle	332.632 Choo, Wei-Chong Volatility forecasting with exponential weighting, smooth transition and robust methods
description	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.
author	Choo, Wei-Chong
author_facet	Choo, Wei-Chong
author_sort	Choo, Wei-Chong
title	Volatility forecasting with exponential weighting, smooth transition and robust methods
title_short	Volatility forecasting with exponential weighting, smooth transition and robust methods
title_full	Volatility forecasting with exponential weighting, smooth transition and robust methods
title_fullStr	Volatility forecasting with exponential weighting, smooth transition and robust methods
title_full_unstemmed	Volatility forecasting with exponential weighting, smooth transition and robust methods
title_sort	volatility forecasting with exponential weighting, smooth transition and robust methods
publisher	University of Oxford
publishDate	2008
url	http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.489421
work_keys_str_mv	AT chooweichong volatilityforecastingwithexponentialweightingsmoothtransitionandrobustmethods
_version_	1716797691824963584

Volatility forecasting with exponential weighting, smooth transition and robust methods

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