A forecast comparison of volatility models : does anything beat a GARCH (1,1)?
Peter R. Hansen and Asger Lunde
| Year of publication: |
2005
|
|---|---|
| Authors: | Hansen, Peter Reinhard ; Lunde, Asger |
| Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 20.2005, 7, p. 873-889
|
| 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 |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003243445