Modelling and forecasting volatility of East Asian Newly Industrialized Countries and Japan stock markets with non-linear models
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References listed on IDEAS
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More about this item
KeywordsGARCH; Volatility forecasting; forecast evaluation.;
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-01-16 (All new papers)
- NEP-FMK-2010-01-16 (Financial Markets)
- NEP-FOR-2010-01-16 (Forecasting)
- NEP-SEA-2010-01-16 (South East Asia)
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