feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the …

comovement of stock markets to forecast stock returns in European stock markets for high-technology firms. We used weekly data on …

large economies, USA, United Kingdom, Germany, France and Japan. The empirical results show that although the pure NGARCH … model performs well, the estimation for the German stock index could be significantly improved by an extension which follows …