Published in:in Macroeconomic Forecasting in the Era of Big Data, Springer International Publishing, vol. 52, pp. 465-494 (ISBN 978-3-030-31149-0; 978-3-030-31150-6) (ISSN 1570-5811)
Abstract:This Chapter reviews the main classes of models that incorporate volatility, with a focus on the most recent advancements in the financial econometrics literature and on the challenges posed by the increased availability of data. There are limits to the feasibility of all models when the cross-sectional dimension diverges, unless strong restrictions are imposed on the model’s dynamics. In the latter case, the models might become feasible at the expense of reduced economic intuition that can be recovered from the model fit. In turn, this could have a negative impact on the forecast and the identification of its drivers.
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Last modified on Friday, 26 February 2021 10:54