Forecasting accuracy of stochastic volatility, GARCH and EWMA models under different volatility scenarios
Year of publication: |
2010
|
---|---|
Authors: | Ding, Jie ; Meade, Nigel |
Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 20.2010, 10/12, p. 771-783
|
Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model |
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