Multivariate volatility forecasts for stock market indices

Ines Wilms, Jeroen Rombouts, Christophe Croux

Research output: Contribution to journalArticleAcademicpeer-review

Original languageEnglish
JournalInternational Journal of Forecasting
DOIs
Publication statusE-pub ahead of print - 28 Sep 2020

Keywords

  • international stock markets
  • Lasso
  • option-implied variance
  • realized variance
  • Volatility spillover

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