The Volatility and Density Prediction Performance of Alternative GARCH Models
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.
Volume (Year): 31 (2012)
Issue (Month): 2 (03)
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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966
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- Diego Fresoli & Esther Ruiz, 2014. "The uncertainty of conditional returns, volatilities and correlations in DCC models," Statistics and Econometrics Working Papers ws140202, Universidad Carlos III, Departamento de Estadística y Econometría.
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