Ferreira, Miguel A. (contributor); … - 2004 - [Elektronische Ressource], rev
: Interest rates; Covariance models; GARCH; Forecasting; Risk Management, Value-at-
Risk
1Introduction
The short-term interest …-based approach to forecasting second moments has focused on
univariate time-varying variance models. For examples, see Glosten … markets have compared the out-of-sample forecasting ability of several GARCH type
models with that of simple variance measures …