Volatility forecasting with smooth transition exponential smoothing

International Journal of Forecasting

Volumn 20, Issue 2, 2004, Pages 273-286

  Taylor, James W ^a  

^a UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

Adaptive exponential smoothing; Non linear GARCH; Smooth transition; Volatility forecasting

Indexed keywords

EID: 1842810938     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2003.09.010     Document Type: Article

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