Forecasting volatility with asymmetric smooth transition dynamic range models
Year of publication: |
2012
|
---|---|
Authors: | Lin, Edward M. H. ; Chen, Cathy W. S. ; Gerlach, Richard |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 28.2012, 2, p. 384-399
|
Subject: | Theorie | Theory | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Schätzung | Estimation | ARCH-Modell | ARCH model |
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