Content horizons for conditional variance forecasts

International Journal of Forecasting

Volumn 21, Issue 2, 2005, Pages 249-260

  Galbraith, John W ^a   Kisinbay, Turgut ^b  

^a MCGILL UNIVERSITY   (Canada)

^b INTERNATIONAL MONETARY FUND   (United States)

Author keywords

GARCH; High frequency data; Integrated variance; Realized variance

Indexed keywords

EID: 14844317623     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2004.10.002     Document Type: Article

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