Direct Versus Iterated Multiperiod Volatility Forecasts

Annual Review of Financial Economics 2019 / 12 Vol. 11; Iss. 1

Direct Versus Iterated Multiperiod Volatility Forecasts

Ghysels, Eric, Plazzi, Alberto, Valkanov, Rossen, Rubia, Antonio, Dossani, Asad
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Volume:
11
Journal:
Annual Review of Financial Economics
DOI:
10.1146/annurev-financial-110217-022808
Date:
December, 2019
File:
PDF, 500 KB
2019
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