Rastogi, Vivek Raj; Dhar, Joydip - In: International Journal of Accounting and Finance 3 (2012) 3, pp. 193-206
This study investigates the influence of increasing the forecast horizon on correlation between the forecast returns and the actual returns. ARMA and EGARCH models are used in this paper to capture univariate asset returns. ARMA model is conditional mean model and EGARCH model is conditional...