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Forecasting Performance of Asymmetric GARCH Stock Market Volatility Models
Language: en
Pages: 35
Authors: Hojin Lee
Categories:
Type: BOOK - Published: 2017 - Publisher:

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We investigate the asymmetry between positive and negative returns in their effect on conditional variance of the stock market index and incorporate the charact
Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons
Language: en
Pages: 40
Authors: Turgut Kisinbay
Categories: Business & Economics
Type: BOOK - Published: 2003-06-01 - Publisher: International Monetary Fund

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Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric one
Forecasting Volatility in the Financial Markets
Language: en
Pages: 428
Authors: Stephen Satchell
Categories: Business & Economics
Type: BOOK - Published: 2011-02-24 - Publisher: Elsevier

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Forecasting Volatility in the Financial Markets, Third Edition assumes that the reader has a firm grounding in the key principles and methods of understanding v
Stock Market Volatility
Language: en
Pages: 654
Authors: Greg N. Gregoriou
Categories: Business & Economics
Type: BOOK - Published: 2009-04-08 - Publisher: CRC Press

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Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better
Forecasting Volatility in the Financial Markets
Language: en
Pages: 428
Authors: John L. Knight
Categories: Business & Economics
Type: BOOK - Published: 2002 - Publisher: Butterworth-Heinemann

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This text assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to