A comparison of some alternative volatility forecasting models for risk management

Proceedings of the Second IASTED International Conference on Financial Engineering and Applications

Volumn , Issue , 2004, Pages 168-178

  Sadorsky, Perry ^a  

^a YORK UNIVERSITY   (Canada)

Author keywords

Forecasting volatility; GARCH; Stochastic volatility; Value at risk

Indexed keywords

FORECASTING VOLATILITY; GARCH; STOCHASTIC VOLATILITY; VALUE AT RISK;

DATA REDUCTION; ERROR ANALYSIS; FINANCIAL DATA PROCESSING; MARKETING; MATHEMATICAL MODELS; PROBABILITY; RANDOM PROCESSES;

RISK ASSESSMENT;

EID: 11144299552     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

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