Forecasting exchange rate volatility using conditional variance models selected by information criteria
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 61 (1998)
Issue (Month): 3 (December)
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Web page: http://www.elsevier.com/locate/ecolet
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9317r, Wisconsin Madison - Social Systems.
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- Shaun Bond & Stephen Satchell, 2006. "Asymmetry and downside risk in foreign exchange markets," The European Journal of Finance, Taylor & Francis Journals, vol. 12(4), pages 313-332.
- Matei, Marius, 2010. "Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes," Working Papers of Institute for Economic Forecasting 100201, Institute for Economic Forecasting.
- Sohn, So Young & Lim, Michael, 2007. "Hierarchical forecasting based on AR-GARCH model in a coherent structure," European Journal of Operational Research, Elsevier, vol. 176(2), pages 1033-1040, January.
- 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.
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