Forecasting volatilities and coorelations with EGARCH models
Robert Cumby ; Stephen Figlewski ; Joel Hasbrouck
| Year of publication: |
1993
|
|---|---|
| Authors: | Cumby, Robert |
| Other Persons: | Figlewski, Stephen (contributor) ; Hasbrouck, Joel (contributor) |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 1.1993, 2, p. 51-63
|
| Subject: | Börsenkurs | Share price | Wechselkurs | Exchange rate | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Volatilität | Volatility | Theorie | Theory | Schätzung | Estimation | USA | United States | 1977-1990 |
| 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/10001220370