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In dieser Untersuchung wird gezeigt, wie neuere ökonometrische Verfahren zur Modellierung und Prognose von … von einer konstanten Varianz ausgeht, bei der Prognose von Volatilitäten überlegen ist. …
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The statistical analysis of short-run exchange-rate data shows that there is strong heteroskedasticity and serial dependence of volatility. In addition, the empirical distributions are leptokurtic. The model of generalized autoregressive conditional heteroskedasticity (GARCH) seems to be ideally...
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Recently, several institutions have increased their forecast horizons, and many institutions rely on their past … forecast errors to estimate measures of forecast uncertainty. This work addresses the question how the latter estimation can be … accomplished if there are only very few errors available for the new forecast horizons. It extends upon the results of Knüppel …
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