Evaluating and improving GARCH-based volatility forecasts with range-based estimators
Jui-Cheng Hung, Tien-Wei Lou, Yi-Hsien Wang and Jun-De Lee
| Year of publication: |
2013
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|---|---|
| Authors: | Hung, Jui-cheng ; Lou, Tien-wei ; Wang, Yi-hsien ; Lee, Jun-de |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 45.2013, 28/30, p. 4041-4049
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| Subject: | range-based estimators | GARCH-based volatility forecasts | SPA test | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Heteroskedastizität | Heteroscedasticity |
| 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/10010345765