Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons
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- Turgut Kısınbay, 2010. "Predictive ability of asymmetric volatility models at medium-term horizons," Applied Economics, Taylor & Francis Journals, vol. 42(30), pages 3813-3829.
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Cited by:- N. Antonakakis & J. Darby, 2013.
"Forecasting volatility in developing countries' nominal exchange returns,"
Applied Financial Economics, Taylor & Francis Journals, vol. 23(21), pages 1675-1691, November.
- Antonakakis, Nikolaos & Darby, Julia, 2012. "Forecasting Volatility in Developing Countries' Nominal Exchange Returns," MPRA Paper 40875, University Library of Munich, Germany.
- Bednarik, Radek, 2008. "Analýza volatility devizových kurzů vybraných ekonomik [The Analysis of Volatility of Selected Countries' Exchange Rates]," MPRA Paper 15046, University Library of Munich, Germany.
- Dimitrios P. Louzis & Spyros Xanthopoulos-Sisinis & Apostolos P. Refenes, 2012.
"Stock index realized volatility forecasting in the presence of heterogeneous leverage effects and long range dependence in the volatility of realized volatility,"
Applied Economics, Taylor & Francis Journals, vol. 44(27), pages 3533-3550, September.
- Dimitrios Louzis & Spyros Xanthopoulos-Sisinis & Apostolos Refenes, 2011. "Stock index realized volatility forecasting in the presence of heterogeneous leverage effects and long range dependence in the volatility of realized volatility," Post-Print hal-00709559, HAL.
- Raj Kumar Singh & Yashvardhan Singh & Satish Kumar & Ajay Kumar & Waleed S. Alruwaili, 2024. "Mapping Risk–Return Linkages and Volatility Spillover in BRICS Stock Markets through the Lens of Linear and Non-Linear GARCH Models," JRFM, MDPI, vol. 17(10), pages 1-26, September.
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Keywords
WP; EGARCH model; high frequency; TARCH model; null hypothesis; GARCH; high-frequency data; realized volatility; integrated volatility; and asymmetric volatility; GARCH model; benchmark model; APARCH model; JPY dataset; standard deviation; volatility model; Asset prices; Stock markets; Stocks;
All these keywords.Statistics
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- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," Center for Financial Institutions Working Papers 02-27, Wharton School Center for Financial Institutions, University of Pennsylvania.