Modelling and forecasting volatility dynamics using quadratic GARCH-factor models : empirical evidence from international foreign exchange markets
Year of publication: |
2009
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Authors: | Saidane, Mohamed ; Lavergne, Christian |
Published in: |
Stock returns : cyclicity, prediction and economic consequences. - New York, NY : Nova Science Publ., ISBN 978-1-60741-458-2. - 2009, p. 231-267
|
Subject: | Kapitaleinkommen | Capital income | Volatilität | Volatility | Devisenmarkt | Foreign exchange market | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Zustandsraummodell | State space model | Monte-Carlo-Simulation | Monte Carlo simulation |
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