Forecasting exchange rate volatility : the superior performance of conditional combinations of time series and option implied forecasts
Guillermo Benavides; Carlos Capistrán
| Year of publication: |
2012
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|---|---|
| Authors: | Benavides, Guillermo ; Capistrán Carmona, Carlos |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 19.2012, 5, p. 627-639
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| Subject: | composite forecasts | Forecast evaluation | GARCH | Implied volatility | Mexican peso-U.S. dollar exchange rate | Regime switching | Volatilität | Volatility | Wechselkurs | Exchange rate | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | US-Dollar | US dollar | ARCH-Modell | ARCH model | USA | United States | Schätzung | Estimation | Prognose | Forecast | Mexiko | Mexico |
| 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://ebvufind01.dmz1.zbw.eu/10009700616