Further empirical evidence on the forecasting of volatility with smooth transition exponential smoothing
Min Liu, James W. Taylor, Wei-Chong Choo
| Year of publication: |
2020
|
|---|---|
| Authors: | Liu, Min ; Taylor, James W. ; Choo, Wei Chong |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 93.2020, p. 651-659
|
| Subject: | Daily volatility forecasting | Robustness | Smooth transition exponential smoothing | Trading volume | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Handelsvolumen der Börse |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2020.02.021 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012430324