Forecasting exchange rate volatility using conditional variance models selected by information criteria
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"Non-Linear Time Series Models in Empirical Finance,"
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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.
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- Alessandra Pasqualina Viola & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto & Wagner Piazza Gaglianone, 2017. "Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression," Working Papers Series 466, Central Bank of Brazil, Research Department.
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- Prateek Sharma & Vipul _, 2015. "Forecasting stock index volatility with GARCH models: international evidence," Studies in Economics and Finance, Emerald Group Publishing, vol. 32(4), pages 445-463, October.
- repec:spr:fininn:v:3:y:2017:i:1:d:10.1186_s40854-017-0071-z is not listed on IDEAS
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