Asymmetric Conditional Volatility Models: Empirical Estimation and Comparison of Forecasting Accuracy
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References listed on IDEAS
- Pavelescu, Florin Marius, 2009. "A Review Of Student Test Properties In Condition Of Multifactorial Linear Regression," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 6(1), pages 63-75, March.
- John Freebairn & Bill Griffiths, 2006. "Introduction," The Economic Record, The Economic Society of Australia, vol. 82(s1), pages 1-1, September.
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- OPREANA Claudiu & BRATIAN Vasile, 2012. "Modeling Of Volatility In The Romanian Capital Market," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 7(3), pages 113-128, December.
- N. Chitra Devi & S. Chandramohan, 2016. "Asymmetric relationship between stock market returns and macroeconomic variables," International Journal of Business Forecasting and Marketing Intelligence, Inderscience Enterprises Ltd, vol. 2(2), pages 79-94.
- Acatrinei, Marius & Gorun, Adrian & Marcu, Nicu, 2013. "A DCC-GARCH Model To Estimate the Risk to the Capital Market in Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 136-148, March.
- repec:rjr:romjef:v::y:2017:i:3:p:37-53 is not listed on IDEAS
- Cristiana Tudor, 2011. "Changes in Stock Markets Interdependencies as a Result of the Global Financial Crisis: Empirical Investigation on the CEE Region," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 58(4), pages 525-543, December.
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Keywordsstylized facts; leverage effects; asymmetric GARCH; volatility modeling; volatility forecasting;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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