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person:"Grammig, Joachim"
~person:"Satchell, Stephen"
~subject:"ARCH model"
~subject:"Duration analysis"
~type:"article"
~type_genre:"Book section"
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Forecasting volatility in the financial markets
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Implied volatility forecasting : a comparison of different procedures including fractionally integrated models with applications to UK equity options
Hwang, Soosung
;
Satchell, Stephen
- In:
Forecasting volatility in the financial markets
,
(pp. 249-277)
.
2007
Persistent link: https://www.econbiz.de/10003872982
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GARCH predictions and the predictions of option prices
Knight, John L.
;
Satchell, Stephen
- In:
Forecasting volatility in the financial markets
,
(pp. 279-294)
.
2007
Persistent link: https://www.econbiz.de/10003872994
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Forecasting intra-day return volatility using ultra-high-frequency GARCH : does the duration model matter?
Hujer, Reinhard
;
Grammig, Joachim
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2001
Persistent link: https://www.econbiz.de/10014553638
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