Modelling and forecasting volatility dynamics using quadratic GARCH-factor models : empirical evidence from international foreign exchange markets
Mohamed Saidane and Christian Lavergne
| Year of publication: |
2009
|
|---|---|
| Authors: | Saidane, Mohamed ; Lavergne, Christian |
| Published in: |
Stock returns : cyclicity, prediction and economic consequences. - New York, NY : Nova Science Publ., ISBN 978-1-60741-458-2. - 2009, p. 231-267
|
| Subject: | Kapitaleinkommen | Capital income | Volatilität | Volatility | Devisenmarkt | Foreign exchange market | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Zustandsraummodell | State space model | Monte-Carlo-Simulation | Monte Carlo simulation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003945037