Improving GARCH volatility forecasts with regime-switching GARCH
Franc Klaassen
| Year of publication: |
2002
|
|---|---|
| Authors: | Klaassen, Franc |
| Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 27.2002, 2, p. 363-394
|
| Subject: | Wechselkurs | Exchange rate | US-Dollar | US dollar | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Schätzung | Estimation | USA | United States | 1978-1997 |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: Empirical economics |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001655657