A forecast comparison of volatility models : does anything beat a GARCH (1,1)?
Year of publication: |
2005
|
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Authors: | Hansen, Peter Reinhard ; Lunde, Asger |
Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 20.2005, 7, p. 873-889
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Subject: | Prognoseverfahren | Forecasting model | Volatilität | Volatility | ARCH-Modell | ARCH model | Vergleich | Comparison | Wechselkurs | Exchange rate | Börsenkurs | Share price | USA | United States | Deutschland | Germany | 1992-1993 |
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