Caglayan, Ebru; Dayioglu, Tugba - In: Istanbul University Econometrics and Statistics e-Journal 9 (2009) 1, pp. 1-16
This paper compares the forecasting performance of symmetric and asymmetric conditional volatility models of exchange rate returns of OECD countries. The results show that the forecasting performances of asymmetric conditional models are better than symmetric conditional models for most of the...