Model-free versus model-based volatility prediction
Year of publication: |
2007
|
---|---|
Authors: | Politis, Dimitris N. |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 5.2007, 3, p. 358-389
|
Subject: | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Wechselkurs | Exchange rate | Aktienindex | Stock index | Börsenkurs | Share price | USA | United States | 1984-2000 |
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