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Volumn 6, Issue 3, 1996, Pages 189-198

Uncertainty and overconfidence in time series forecasts: Application to the Standard & Poor's 500 Stock Index

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0042383698     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/096031096334213     Document Type: Article
Times cited : (10)

References (27)
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  • 3
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    • ARCH modeling in finance: A review of the theory and empirical evidence
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  • 6
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    • December 8, DataStream International/Indices, Interest and Exchange Rates/SPCOMP
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  • 8
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    • Derivatives: The beauty in the beast
    • Author 14-20 May 1994
    • The Economist (1994a), Derivatives: the beauty in the beast, Author 331 (14-20 May 1994), pp. 21-2.
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    • Derivatives: Pain and gain
    • Author 9-15 July 1994
    • The Economist (1994b), Derivatives: pain and gain, Author 332 (9-15 July 1994), pp. 80-1.
    • (1994) The Economist , vol.332 , pp. 80-81
  • 10
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    • Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
    • Engle, R. F. (1982) Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50, 987-1007.
    • (1982) Econometrica , vol.50 , pp. 987-1007
    • Engle, R.F.1
  • 13
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    • Alarming instrument of financial change: A look at corporate concerns over derivatives
    • 7 December
    • Gapper, J. and Waters, R. (1994) Alarming instrument of financial change: a look at corporate concerns over derivatives, Financial Times, 7 December, p. 20.
    • (1994) Financial Times , pp. 20
    • Gapper, J.1    Waters, R.2
  • 14
    • 0002044433 scopus 로고
    • On the estimation of security price volatilities from historical data
    • Garman, M. B. and Klass, M. J. (1980) On the estimation of security price volatilities from historical data, Journal of Business, 53, 67-78.
    • (1980) Journal of Business , vol.53 , pp. 67-78
    • Garman, M.B.1    Klass, M.J.2
  • 20
    • 0002484781 scopus 로고
    • The extreme value method for estimating the variance of the rate of return
    • Parkinson, M. (1980) The extreme value method for estimating the variance of the rate of return, Journal of Business, 53, 61-5.
    • (1980) Journal of Business , vol.53 , pp. 61-65
    • Parkinson, M.1
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    • 0002025664 scopus 로고
    • Stock volatility and the crash of '87
    • Schwert, G. W. (1990) Stock volatility and the crash of '87, The Review of Financial Studies, 3, 77-102.
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  • 25
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    • Quantifying the credibility of energy projections from trends in past data: The US energy sector
    • Shlyakhter, A. I., Kammen, D. M., Broido, C. L. and Wilson, R. (1994) Quantifying the credibility of energy projections from trends in past data: The US energy sector, Energy Policy, 22, 119-30.
    • (1994) Energy Policy , vol.22 , pp. 119-130
    • Shlyakhter, A.I.1    Kammen, D.M.2    Broido, C.L.3    Wilson, R.4
  • 26
    • 0028147006 scopus 로고
    • An improved framework for uncertainty analysis: Accounting for unsuspected errors
    • Shlyakhter, A. I. (1994) An improved framework for uncertainty analysis: accounting for unsuspected errors, Risk Analysis, 14, 441-7.
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    • Shlyakhter, A.I.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.