Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries
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Bibliographic InfoArticle provided by Elsevier in its journal International Journal of Forecasting.
Volume (Year): 21 (2005)
Issue (Month): 1 ()
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- Jui-Cheng Hung & Ren-Xi Ni & Matthew C. Chang, 2009. "The Information Contents of VIX Index and Range-based Volatility on Volatility Forecasting Performance of S&P 500," Economics Bulletin, AccessEcon, vol. 29(4), pages 2592-2604.
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- Visser, Marcel P., 2008. "Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure," MPRA Paper 11100, University Library of Munich, Germany.
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"Non-linear predictability in stock and bond returns: When and where is it exploitable?,"
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- Rodríguez, Mª José & Ruiz, Esther, . "GARCH models with leverage effect : differences and similarities," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/3474, Universidad Carlos III de Madrid.
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