Answering the critics yes, arch models do provide good volatility forecasts

Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this, a voluminous literature has emerged for modeling the tem...

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Bibliographische Detailangaben

Hauptverfasser:	Andersen, Torben (VerfasserIn), Bollerslev, Tim 1958- (VerfasserIn)
Format:	Buch
Sprache:	English
Veröffentlicht:	Cambridge, Mass. 1997
Schriftenreihe:	National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 6023
Schlagworte:	Assets (Accounting) > Prices > Forecasting Autoregression (Statistics) Econometrics
Online-Zugang:	kostenfrei
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