Use this URL to cite or link to this record in EThOS: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.489421 |
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Title: | Volatility forecasting with exponential weighting, smooth transition and robust methods. | ||||
Author: | Choo, Wei-Chong |
ISNI:
0000 0000 7942 1844
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Awarding Body: | Oxford University | ||||
Current Institution: | University of Oxford | ||||
Date of Award: | 2008 | ||||
Availability of Full Text: |
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Abstract: | |||||
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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Supervisor: | Not available | Sponsor: | Not available | ||
Qualification Name: | Thesis (Ph.D.) | Qualification Level: | Doctoral | ||
EThOS ID: | uk.bl.ethos.489421 | DOI: | Not available | ||
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