A GMM procedure for combining volatility forecasts

@article{Amendola2008AGP,
  title={A GMM procedure for combining volatility forecasts},
  author={Alessandra Amendola and Giuseppe Storti},
  journal={Computational Statistics & Data Analysis},
  year={2008},
  volume={52},
  pages={3047-3060}
}
A novel approach to the combination of volatility forecasts is discussed. The proposed procedure makes use of the generalized method of moments (GMM) for estimating the combination weights. The asymptotic properties of the GMM estimator are derived while its finite sample properties are assessed by means of a simulation study. The results of an application… CONTINUE READING