Forecasting volatility with encompassing and regime dependent GARCH models
Larry Bauer and Steve Beveridge
| Year of publication: |
2005
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|---|---|
| Authors: | Bauer, Larry ; Beveridge, Steve |
| Published in: |
Journal of financial management and analysis : international review of finance. - Mumbai : [Verlag nicht ermittelbar], ISSN 0970-4205, ZDB-ID 1072082-0. - Vol. 18.2005, 2, p. 1-11
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| Subject: | RD-GARCH (Regime Dependent Generalized Autoregressive Conditional Heteroscedasticity) | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Theorie | Theory |
| 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/10003337644