Assessing Volatility Forecasting Models: Why GARCH Models Take the Lead
Year of publication: |
2009
|
---|---|
Authors: | Matei, Marius |
Published in: |
Journal for Economic Forecasting. - Institutul de Prognoza Economica. - 2009, 4, p. 42-65
|
Publisher: |
Institutul de Prognoza Economica |
Subject: | volatility | GARCH | forecast | correlation | risk | heteroskedasticity |
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