Blar i AURA på forfatter "Dadson, Robert"
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The Extent of Volatility Predictability Evaluation of forecasting accuracy dependent on time, distribution and model order
Dadson, Robert; Slonka, Marta (Master thesis, 2015)This thesis focuses on the accuracy and ability of out-of-sample volatility forecasting over different time horizons. Using data at daily frequency we forecast the future volatility over multiple time horizons (1, 3, 6, ...