Forecasting volatility with many predictors
Tsung-Han Ke and Yu-Pin Hu
| Year of publication: |
2013
|
|---|---|
| Authors: | Ke, Tsung-han ; Hu, Yu-pin |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 32.2013, 8, p. 743-754
|
| Subject: | conditional heteroskedasticity | dimension reduction | GARCH model | risk management | S&P 500 Index | ARCH-Modell | ARCH model | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Risikomanagement | Risk management | Heteroskedastizität | Heteroscedasticity | Aktienindex | Stock index | Schätztheorie | Estimation theory |
| 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/10010344461