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Estimation windows, either rolling or expanding, are used for volatility forecasting. In this study, we propose a new approach relying on both estimation windows. Our method is based on how well these two windows performed in terms of prediction during a recent period of past time. We will continue to use whichever one has performed better in the past. Results show that our strategy significantly...
This paper aims to accurately forecast US stock market volatility by using international market volatility information flows. The results show the significant ability of the combined international volatility information to predict US stock volatility. The predictability is found to be both statistically and economically significant. Furthermore, in this framework, we compare the performance of a large...
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