Improving volatility forecasts with GED-GARCH model: evidence from U.S. stock market
Massimiliano Giacalone and Raffaele Mattera, Paolo Carmelo Cozzucoli
| Year of publication: |
2019
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|---|---|
| Authors: | Giacalone, Massimiliano ; Mattera, Raffaele ; Cozzucoli, Paolo Carmelo |
| Published in: |
The empirical economics letters : a monthly international journal of economics. - Rajshahi, ISSN 1681-8997, ZDB-ID 2560109-X. - Vol. 18.2019, 7, p. 785-791
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| Subject: | GARCH | Generalized Error Distribution | volatility | prediction | t-student | Volatilität | Volatility | ARCH-Modell | ARCH model | USA | United States | Prognoseverfahren | Forecasting model | Aktienmarkt | Stock market | Börsenkurs | Share price | Schätzung | Estimation | Kapitaleinkommen | Capital income | 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/10012315480