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~isPartOf:"The European Journal of Finance"
~source:"repec"
~subject:"Combined Forecasting"
~subject:"Currency Futures"
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Combined Forecasting
Currency Futures
GARCH
11
Garch
4
volatility
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persistence
3
stochastic volatility
3
GARCH model
2
GARCH models
2
Kalman filter
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copula
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forecast evaluation
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forecasting
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risk management
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(G)ARCH
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Akaike information criterion
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Bivariate Garch Model
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Capital Asset Pricing Model Capm
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Barkoulas, John
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Chakraborty, Atreya
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Claessen, Holger
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Mittnik, Stefan
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The European Journal of Finance
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Forecasting stock market volatility and the informational efficiency of the DAX-index options market
Claessen, Holger
;
Mittnik, Stefan
- In:
The European Journal of Finance
8
(
2002
)
3
,
pp. 302-321
, such as
GARCH
models, are investigated to determine if they are more appropriate for predicting future return volatility …
Persistent link: https://www.econbiz.de/10005438047
Saved in:
2
Dynamic futures hedging in currency markets
Chakraborty, Atreya
;
Barkoulas, John
- In:
The European Journal of Finance
5
(
1999
)
4
,
pp. 299-314
violated, time-varying OHRs are appropriate for hedging purposes. A bivariate
GARCH
model is employed to estimate the joint …
Persistent link: https://www.econbiz.de/10005268710
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