Risk-sensitive routing of volatility forecasting specialists reduces high-volatility forecast loss by 24% and underprediction loss by 22% versus a rolling-best baseline on six ETFs.
Online prediction under model uncertainty via dynamic model averaging: Application to a cold rolling mill
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Risk-Sensitive Specialist Routing for Volatility Forecasting
Risk-sensitive routing of volatility forecasting specialists reduces high-volatility forecast loss by 24% and underprediction loss by 22% versus a rolling-best baseline on six ETFs.