Why do absolute returns predict volatility so well?
Year of publication: |
2007
|
---|---|
Authors: | Forsberg, Lars ; Ghysels, Eric |
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, 1, p. 31-67
|
Subject: | Kapitaleinkommen | Capital income | Volatilität | Volatility | Prognoseverfahren | Forecasting model | USA | United States | 1987-2002 |
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