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Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate

  • Balaban, Ercan
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    File URL: http://www.sciencedirect.com/science/article/B6V84-4BJ22KN-9/2/b5dac12b3d190cc2f056475c4ef4fa9b
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 83 (2004)
    Issue (Month): 1 (April)
    Pages: 99-105

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    Handle: RePEc:eee:ecolet:v:83:y:2004:i:1:p:99-105
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    1. Brooks, Chris & Burke, Simon P., 1998. "Forecasting exchange rate volatility using conditional variance models selected by information criteria," Economics Letters, Elsevier, vol. 61(3), pages 273-278, December.
    2. Vilasuso, Jon, 2002. "Forecasting exchange rate volatility," Economics Letters, Elsevier, vol. 76(1), pages 59-64, June.
    3. Adrian R. Pagan & G. William Schwert, 1990. "Alternative Models For Conditional Stock Volatility," NBER Working Papers 2955, National Bureau of Economic Research, Inc.
    4. Lee, Keun Yeong, 1991. "Are the GARCH models best in out-of-sample performance?," Economics Letters, Elsevier, vol. 37(3), pages 305-308, November.
    5. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
    6. Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.
    7. Jorion, Philippe, 1995. " Predicting Volatility in the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 50(2), pages 507-28, June.
    8. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
    9. Brailsford, Timothy J. & Faff, Robert W., 1996. "An evaluation of volatility forecasting techniques," Journal of Banking & Finance, Elsevier, vol. 20(3), pages 419-438, April.
    10. Kenneth D. West & Dongchul Cho, 1994. "The Predictive Ability of Several Models of Exchange Rate Volatility," NBER Technical Working Papers 0152, National Bureau of Economic Research, Inc.
    11. Taylor, Stephen J., 1987. "Forecasting the volatility of currency exchange rates," International Journal of Forecasting, Elsevier, vol. 3(1), pages 159-170.
    12. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
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