Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts
Year of publication: |
1997-04
|
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Authors: | Bollerslev, Tim ; Andersen, Torben G. |
Institutions: | National Bureau of Economic Research (NBER) |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | AP published as Torben G. Andersen and Tim Bollerslev. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, 1998, vol. 39, issue 4, pages 885-905 Number 6023 |
Classification: | C22 - Time-Series Models ; C52 - Model Evaluation and Testing |
Source: |
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