On Heteroskedasticity and Regimes in Volatility Forecasting
Year of publication: |
2017
|
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Authors: | Cipollini, Fabrizio |
Other Persons: | Gallo, Giampiero M. (contributor) ; Otranto, Edoardo (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Heteroskedastizität | Heteroscedasticity | Theorie | Theory |
Extent: | 1 Online-Ressource (22 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 14, 2017 erstellt |
Other identifiers: | 10.2139/ssrn.3037550 [DOI] |
Classification: | C22 - Time-Series Models ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; c58 |
Source: | ECONIS - Online Catalogue of the ZBW |
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