Modelling the absolute returns of different stock indices : exploring the forecastability of an alternative measure of risk
Clive W. J. Granger and Chor-yiu Sin
| Year of publication: |
2000
|
|---|---|
| Authors: | Granger, C. W. J. ; Sin, Chor-yiu |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 19.2000, 4, p. 277-298
|
| Subject: | Kapitaleinkommen | Capital income | Aktienindex | Stock index | Investitionsrisiko | Investment risk | Volatilität | Volatility | Messung | Measurement | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Theorie | Theory | Kleinste-Quadrate-Methode | Least squares method | Schätzung | Estimation | Japan | 1988-1998 |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: Journal of forecasting |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001504616