Is there an ideal in-sample length for forecasting volatility?
Dimos S. Kambouroudis, David G. McMillan
| Year of publication: |
July 2015
|
|---|---|
| Authors: | Kambouroudis, Dimos S. ; McMillan, David G. |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 37.2015, p. 114-137
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| Subject: | Forecasting | In-sample | Stock market | Volatility | Volatilität | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Theorie | Theory | Aktienmarkt | ARCH-Modell | ARCH model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2015.02.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011475043