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
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- West, Kenneth D. & Cho, Dongchul, 1995.
"The predictive ability of several models of exchange rate volatility,"
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- 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.
- 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.
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