A forecast comparison of volatility models : does anything beat a GARCH (1,1)?
Peter Reinhard Hansen and Asger Lunde
| Year of publication: |
Mar. 2001 ; [Elektronische Ressource]
|
|---|---|
| Other Persons: | Hansen, Peter Reinhard (contributor) ; Lunde, Asger (contributor) |
| Institutions: | Brown University / Department of Economics (contributor) |
| Publisher: |
Providence, RI : Brown Univ., Dep. of Economics |
| Subject: | Prognoseverfahren | Forecasting model | Volatilität | Volatility | ARCH-Modell | ARCH model | Vergleich | Comparison | Wechselkurs | Exchange rate | Börsenkurs | Share price | USA | United States | Deutschland | Germany | 1992-1993 |
