Forecasting Stock Return Volatility at the Quarterly Frequency : An Evaluation of Time Series Approaches
Year of publication: |
2011
|
---|---|
Authors: | Reeves, Jonathan J. |
Other Persons: | Xie, Xuan (contributor) |
Publisher: |
[2011]: [S.l.] : SSRN |
Subject: | Schätzung | Estimation | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Börsenkurs | Share price | ARCH-Modell | ARCH model |
Extent: | 1 Online-Ressource (25 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 22, 2010 erstellt |
Other identifiers: | 10.2139/ssrn.1706470 [DOI] |
Classification: | C53 - Forecasting and Other Model Applications ; G17 - Financial Forecasting |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Ardia, David, (2013)
-
Stock index volatility forecasting with high frequency data
Hol Uspensky, Eugenie, (2002)
-
High frequency vs. daily resolution : the economic value of forecasting volatility models 2nd ed
Lilla, Francesca, (2017)
- More ...
-
Optimal modelling frequency for foreign exchange volatility forecasting
Hooper, Vincent J., (2009)
-
Reeves, Jonathan J., (2014)
-
Forecasting Volatility in the Presence of Model Instability
Reeves, Jonathan J., (2010)
- More ...