Are the GARCH models best in out-of-sample performance?
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 37 (1991)
Issue (Month): 3 (November)
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Web page: http://www.elsevier.com/locate/ecolet
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- Balaban, Ercan, 2004. "Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate," Economics Letters, Elsevier, vol. 83(1), pages 99-105, April.
- Trino-Manuel Ñíguez, 2008. "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer, vol. 10(3), pages 169-196, September.
- Jose A. Lopez, 1995.
"Evaluating the predictive accuracy of volatility models,"
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- Lopez, Jose A, 2001. "Evaluating the Predictive Accuracy of Volatility Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(2), pages 87-109, March.
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