Predicting stock return volatility : can we benefit from regression models for return intervals?
Year of publication: |
March 2016
|
---|---|
Authors: | Fischer, Henning ; Blanco-Fernández, Ángela ; Winker, Peter |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 35.2016, 2, p. 113-146
|
Subject: | volatility forecasting | time-varying variance | interval data | interval regression | range data | CAPM | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Regressionsanalyse | Regression analysis | Schätzung | Estimation | Börsenkurs | Share price | Schätztheorie | Estimation theory |
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