{"id":"https://openalex.org/W4388975615","doi":"https://doi.org/10.1002/for.3046","title":"Out\u2010of\u2010sample volatility prediction: Rolling window, expanding window, or both?","display_name":"Out\u2010of\u2010sample volatility prediction: Rolling window, expanding window, or both?","publication_year":2023,"publication_date":"2023-11-23","ids":{"openalex":"https://openalex.org/W4388975615","doi":"https://doi.org/10.1002/for.3046"},"language":"en","primary_location":{"id":"doi:10.1002/for.3046","doi":"https://doi.org/10.1002/for.3046","is_oa":false,"landing_page_url":"https://doi.org/10.1002/for.3046","pdf_url":null,"source":{"id":"https://openalex.org/S122161766","display_name":"Journal of Forecasting","issn_l":"0277-6693","issn":["0277-6693","1099-131X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","ki-jl-1","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Forecasting","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5101903137","display_name":"Yuqing Feng","orcid":"https://orcid.org/0009-0009-4002-0923","observed_orcids":["https://orcid.org/0009-0009-4002-0923"]},"institutions":[{"id":"https://openalex.org/I36399199","display_name":"Nanjing University of Science and Technology","ror":"https://ror.org/00xp9wg62","country_code":"CN","type":"education","lineage":["https://openalex.org/I36399199"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Yuqing Feng","raw_affiliation_strings":["School of Economics and Management, Nanjing University of Science and Technology, Nanjing, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Economics and Management, Nanjing University of Science and Technology, Nanjing, China","institution_ids":["https://openalex.org/I36399199"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5002643603","display_name":"Yaojie Zhang","orcid":"https://orcid.org/0000-0002-4220-1623","observed_orcids":["https://orcid.org/0000-0002-4220-1623"]},"institutions":[{"id":"https://openalex.org/I36399199","display_name":"Nanjing University of Science and Technology","ror":"https://ror.org/00xp9wg62","country_code":"CN","type":"education","lineage":["https://openalex.org/I36399199"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Yaojie Zhang","raw_affiliation_strings":["School of Economics and Management, Nanjing University of Science and Technology, Nanjing, China"],"raw_orcid":"https://orcid.org/0000-0002-4220-1623","affiliations":[{"raw_affiliation_string":"School of Economics and Management, Nanjing University of Science and Technology, Nanjing, China","institution_ids":["https://openalex.org/I36399199"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5011309730","display_name":"Yudong Wang","orcid":"https://orcid.org/0000-0002-0156-1294","observed_orcids":["https://orcid.org/0000-0002-0156-1294"]},"institutions":[{"id":"https://openalex.org/I36399199","display_name":"Nanjing University of Science and Technology","ror":"https://ror.org/00xp9wg62","country_code":"CN","type":"education","lineage":["https://openalex.org/I36399199"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Yudong Wang","raw_affiliation_strings":["School of Economics and Management, Nanjing University of Science and Technology, Nanjing, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Economics and Management, Nanjing University of Science and Technology, Nanjing, China","institution_ids":["https://openalex.org/I36399199"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5002643603"],"corresponding_institution_ids":["https://openalex.org/I36399199"],"apc_list":{"value":3090,"currency":"USD","value_usd":3090},"apc_paid":null,"fwci":4.6219,"has_fulltext":false,"cited_by_count":22,"citation_normalized_percentile":{"value":0.95389902,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":97,"max":100},"biblio":{"volume":"43","issue":"3","first_page":"567","last_page":"582"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9961000084877014,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9961000084877014,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11918","display_name":"Forecasting Techniques and Applications","score":0.003000000026077032,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.0003000000142492354,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/volatility-forecasting","display_name":"volatility forecasting","score":0.9010000228881836},{"id":"https://openalex.org/keywords/out-of-sample-forecasting","display_name":"out-of-sample forecasting","score":0.8050000071525574},{"id":"https://openalex.org/keywords/rolling-window-estimation","display_name":"rolling window estimation","score":0.8529999852180481},{"id":"https://openalex.org/keywords/mean-variance-utility","display_name":"mean-variance utility","score":0.5590000152587891},{"id":"https://openalex.org/keywords/forecast-combination","display_name":"forecast combination","score":0.35199999809265137}],"concepts":[{"id":"https://openalex.org/C197640229","wikidata":"https://www.wikidata.org/wiki/Q2534066","display_name":"Predictability","level":2,"score":0.8114209175109863},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7869608402252197},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6718812584877014},{"id":"https://openalex.org/C63479239","wikidata":"https://www.wikidata.org/wiki/Q7353546","display_name":"Robustness (evolution)","level":3,"score":0.6092830896377563},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5640264749526978},{"id":"https://openalex.org/C102392041","wikidata":"https://www.wikidata.org/wiki/Q592860","display_name":"Sliding window protocol","level":3,"score":0.4368841052055359},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3405817747116089},{"id":"https://openalex.org/C2778751112","wikidata":"https://www.wikidata.org/wiki/Q835016","display_name":"Window (computing)","level":2,"score":0.300160676240921},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.29242658615112305},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.1976509690284729},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0},{"id":"https://openalex.org/C55493867","wikidata":"https://www.wikidata.org/wiki/Q7094","display_name":"Biochemistry","level":1,"score":0.0},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.0},{"id":"https://openalex.org/C104317684","wikidata":"https://www.wikidata.org/wiki/Q7187","display_name":"Gene","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1002/for.3046","doi":"https://doi.org/10.1002/for.3046","is_oa":false,"landing_page_url":"https://doi.org/10.1002/for.3046","pdf_url":null,"source":{"id":"https://openalex.org/S122161766","display_name":"Journal of Forecasting","issn_l":"0277-6693","issn":["0277-6693","1099-131X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","ki-jl-1","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Forecasting","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G3478086651","display_name":null,"funder_award_id":"72371131","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G7597376302","display_name":null,"funder_award_id":"72001110","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":46,"referenced_works":["https://openalex.org/W1144081696","https://openalex.org/W1545599178","https://openalex.org/W1558793738","https://openalex.org/W1585397833","https://openalex.org/W2068138154","https://openalex.org/W2069601141","https://openalex.org/W2097139473","https://openalex.org/W2106019945","https://openalex.org/W2108731026","https://openalex.org/W2114496006","https://openalex.org/W2119301009","https://openalex.org/W2125536334","https://openalex.org/W2128569377","https://openalex.org/W2128651216","https://openalex.org/W2130774119","https://openalex.org/W2146134639","https://openalex.org/W2158595111","https://openalex.org/W2160785088","https://openalex.org/W2212682903","https://openalex.org/W2491749597","https://openalex.org/W2617434451","https://openalex.org/W2762142016","https://openalex.org/W2762142247","https://openalex.org/W2768667882","https://openalex.org/W2791621775","https://openalex.org/W2914477525","https://openalex.org/W2914526917","https://openalex.org/W2917488747","https://openalex.org/W2920806730","https://openalex.org/W2921711057","https://openalex.org/W3013421662","https://openalex.org/W3016693239","https://openalex.org/W3033634575","https://openalex.org/W3121328226","https://openalex.org/W3121512573","https://openalex.org/W3121532596","https://openalex.org/W3121595883","https://openalex.org/W3121597804","https://openalex.org/W3122070388","https://openalex.org/W3122553341","https://openalex.org/W3123351111","https://openalex.org/W3125987794","https://openalex.org/W3155577272","https://openalex.org/W3187317135","https://openalex.org/W4281682358","https://openalex.org/W4295683161"],"related_works":["https://openalex.org/W4213049805","https://openalex.org/W2971794311","https://openalex.org/W2755263474","https://openalex.org/W4404551017","https://openalex.org/W2779201288","https://openalex.org/W7099422600","https://openalex.org/W4320919104","https://openalex.org/W7000596569","https://openalex.org/W7100070073","https://openalex.org/W3122287983"],"abstract_inverted_index":{"Abstract":[0],"Estimation":[1],"windows,":[2],"either":[3],"rolling":[4,77],"or":[5,78],"expanding,":[6,79],"are":[7],"used":[8],"for":[9,111],"volatility":[10,112],"forecasting.":[11,113],"In":[12,86],"this":[13],"study,":[14],"we":[15,89],"propose":[16],"a":[17,41,118],"new":[18],"approach":[19],"relying":[20],"on":[21,29],"both":[22],"estimation":[23],"windows.":[24],"Our":[25],"method":[26],"is":[27,76,84],"based":[28],"how":[30],"well":[31],"these":[32],"two":[33],"windows":[34],"performed":[35,55],"in":[36,57],"terms":[37],"of":[38,44,93,96,120],"prediction":[39],"during":[40],"recent":[42],"period":[43],"past":[45],"time.":[46],"We":[47],"will":[48],"continue":[49],"to":[50],"use":[51],"whichever":[52],"one":[53],"has":[54],"better":[56,82],"the":[58,67,74,80,91,94,104,115],"past.":[59],"Results":[60],"show":[61],"that":[62],"our":[63,109],"strategy":[64,110],"significantly":[65],"outperforms":[66],"individual":[68],"and":[69],"mean":[70],"combination":[71],"models.":[72],"Whether":[73],"window":[75],"relatively":[81],"performance":[83],"persistent.":[85],"other":[87],"words,":[88],"document":[90],"existence":[92],"momentum":[95],"predictability":[97],"(MoP).":[98],"A":[99],"mean\u2013variance":[100],"investor":[101],"can":[102],"achieve":[103],"highest":[105],"utility":[106],"gains":[107],"using":[108],"Moreover,":[114],"results":[116],"pass":[117],"series":[119],"robustness":[121],"tests.":[122]},"counts_by_year":[{"year":2026,"cited_by_count":10},{"year":2025,"cited_by_count":8},{"year":2024,"cited_by_count":4}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2023-11-25T00:00:00"}