Improving volatility forecasts : evidence from range-based models
Year of publication: |
2024
|
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Authors: | Fałdziński, Marcin ; Fiszeder, Piotr ; Molnár, Peter |
Published in: |
The North American journal of economics and finance : a journal of theory and practice. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9408, ZDB-ID 2023759-5. - Vol. 69.2024, 2, Art.-No. 102019, p. 1-28
|
Subject: | EGARCH | Exchange rates | GARCH | High-low range | Stock indices | Volatility | Volatilität | Wechselkurs | Exchange rate | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Aktienindex | Stock index | Schätzung | Estimation | Börsenkurs | Share price | US-Dollar | US dollar |
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