Daily FX volatility forecasts : can the GARCH (1,1) model be beaten using high-frequency data?
David G. McMillan and Alan E. H. Speight
| Year of publication: |
2012
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|---|---|
| Authors: | McMillan, David G. ; Speight, Alan E. H. |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 31.2012, 4, p. 330-343
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| Subject: | ARCH-Modell | ARCH model | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009576375