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Volatility forecasting with smooth transition exponential smoothing

✍ Scribed by James W. Taylor


Book ID
113647711
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
194 KB
Volume
20
Category
Article
ISSN
0169-2070

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Smooth transition exponential smoothing
✍ James W. Taylor πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 130 KB

## Abstract Adaptive exponential smoothing methods allow a smoothing parameter to change over time, in order to adapt to changes in the characteristics of the time series. However, these methods have tended to produce unstable forecasts and have performed poorly in empirical studies. This paper pre