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Forecasting volatility using historical data
Figlewski, Stephen - 1994
Persistent link: https://www.econbiz.de/10000952027
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Some new results on GARCH : exact formulas for the 2nd moments of the squared errors
Karanasos, Menelaos - 1996
Persistent link: https://www.econbiz.de/10000953935
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Forecasting (LOG) volatility models
Christodoulakis, George A.; Satchell, Stephen - 1998
Persistent link: https://www.econbiz.de/10000998647
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The information content of options on the IBEX-35
Dewachter, Hans - In: Revista española de economía 13 (1996) 2, pp. 159-180
Persistent link: https://www.econbiz.de/10001225596
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Forecasting the S&P 500 index volatility
Chen, An-sing - In: International review of economics & finance : IREF 6 (1997) 4, pp. 391-404
Persistent link: https://www.econbiz.de/10001235520
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Markov switching in GARCH processes and mean-reverting stock-market volatility
Dueker, Michael - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 1, pp. 26-34
Persistent link: https://www.econbiz.de/10001214324
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Distinguishing between stochastic and deterministic behavior in high frequency foreign exchange rate returns : can non-linear dynamics help forecasting
Cecen, A. A. - In: International journal of forecasting 12 (1996) 4, pp. 465-473
Persistent link: https://www.econbiz.de/10001214771
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Exchange rate instability : determinants and predictability
Meese, Richard A. - In: Managing capital flows and exchange rates : …, (pp. 183-205). 1998
Persistent link: https://www.econbiz.de/10001303611
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Horizon problems and extreme events in financial risk management
Christoffersen, Peter F. - In: Economic policy review 4 (1998) 3, pp. 109-118
Persistent link: https://www.econbiz.de/10001338729
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Answering the skeptics : yes, standard volatility models do provide accurate forecasts
Andersen, Torben - In: International economic review 39 (1998) 4, pp. 885-905
Persistent link: https://www.econbiz.de/10001338809