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Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries

Listed author(s):
  • Awartani, Basel M.A.
  • Corradi, Valentina

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File URL: http://www.sciencedirect.com/science/article/pii/S0169-2070(04)00068-8
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Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 21 (2005)
Issue (Month): 1 ()
Pages: 167-183

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Handle: RePEc:eee:intfor:v:21:y:2005:i:1:p:167-183
Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast

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  12. Valentina Corradi & Norman Swanson, 2003. "Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives," Departmental Working Papers 200316, Rutgers University, Department of Economics.
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  23. Ole E. Barndorff-Nielsen & Neil Shephard, 2000. "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.
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