The Fluke Of Stochastic Volatility Versus Garch Inevitability : Which Model Creates Better Forecasts?
Year of publication: |
2014
|
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Authors: | Lakshina, Valeria V. |
Institutions: | National Research University Higher School of Economics |
Subject: | GARCH | stochastic volatility | markov switching multifractal | forecast performance |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published in WP BRP Series: Financial Economics / FE, October 2014, pages - 23 Number WP BRP 37/FE/2014 23 pages |
Classification: | C01 - Econometrics ; c58 ; C51 - Model Construction and Estimation ; G17 - Financial Forecasting |
Source: |
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