parameter instability

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Forecasting volatility using combination across estimation windows: An application to S&P500 stock market index.

Gaetano, Davide De;

2019 mathematical biosciences and engineering : mbe DOI: 10.3934/mbe.2019361 216 views

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PloS one

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mathematical biosciences and engineering : mbe

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financial time series forecast combinations structural breaks volatility forecasting