Modelling the absolute returns of different stock indices: Exploring the forecastability of an alternative measure of risk

Journal of Forecasting

Volumn 19, Issue 4, 2000, Pages 277-298

  Granger, Clive W J ^a,c   Sin, Chor Yiu ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b CITY UNIVERSITY OF HONG KONG   (Hong Kong)

^c Department of Economics   (United States)

Author keywords

Absolute return; Asymmetric least squares, log likelihood; Return; Risk; Volatility

Indexed keywords

EID: 0004368564     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/1099-131X(200007)19:4<277::AID-FOR774>3.0.CO;2-5     Document Type: Article

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