Misspecification in an asymmetrically dependent world : implications for volatility forecasting
Year of publication: |
2018
|
---|---|
Authors: | Ahmed, Salman ; Srivastava, Nandini ; Satchell, Stephen |
Published in: |
Asymmetric dependence in finance : diversification, correlation and portfolio management in market downturns. - Chichester, West Sussex, United Kingdom : Wiley, ISBN 978-1-119-28901-2. - 2018, p. 75-109
|
Subject: | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model |
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