Forecasting UK stock market volatility
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- Liu, Hung-Chun & Chiang, Shu-Mei & Cheng, Nick Ying-Pin, 2012. "Forecasting the volatility of S&P depositary receipts using GARCH-type models under intraday range-based and return-based proxy measures," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 78-91.
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- Md. Zahangir Alam & Md. Noman Siddikee & Md. Masukujjaman, 2013. "Forecasting Volatility of Stock Indices with ARCH Model," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 4(2), pages 126-143, April.
- Heitham Al-Hajieh & Hashem AlNemer & Timothy Rodgers & Jacek Niklewski, 2015. "Forecasting the Jordanian stock index: modelling asymmetric volatility and distribution effects within a GARCH framework," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 4(2), pages 9-26.
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- Wei Liu & Bruce Morley, 2009. "Volatility Forecasting in the Hang Seng Index using the GARCH Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(1), pages 51-63, March.
- Ulu, Yasemin, 2007. "Optimal prediction under LINLIN loss: Empirical evidence," International Journal of Forecasting, Elsevier, vol. 23(4), pages 707-715.
- Shiyi Chen & Kiho Jeong & Wolfgang Härdle, 2008. "Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns," SFB 649 Discussion Papers SFB649DP2008-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Angelidis, Timotheos & Degiannakis, Stavros, 2008. "Volatility forecasting: Intra-day versus inter-day models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 449-465, December.
- McMillan, David G. & Kambouroudis, Dimos, 2009. "Are RiskMetrics forecasts good enough? Evidence from 31 stock markets," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 117-124, June.
- repec:nax:conyad:v:62:y:2017:i:4:p:1063-1080 is not listed on IDEAS
- David Morelli, 2003. "Capital asset pricing model on UK securities using ARCH," Applied Financial Economics, Taylor & Francis Journals, vol. 13(3), pages 211-223.
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