Use this URL to cite or link to this record in EThOS:
Title: Volatility forecasting with exponential weighting, smooth transition and robust methods.
Author: Choo, Wei-Chong
ISNI:       0000 0000 7942 1844
Awarding Body: Oxford University
Current Institution: University of Oxford
Date of Award: 2008
Availability of Full Text:
Full text unavailable from EThOS.
Please contact the current institution’s library for further details.
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.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available