Forecasting volatility

Statistics and Probability Letters

Volumn 75, Issue 1, 2005, Pages 1-10

  Thavaneswaran, A ^a   Appadoo, S S ^a   Peiris, Shelton ^b  

^a UNIVERSITY OF MANITOBA   (Canada)

^b UNIVERSITY OF SYDNEY   (Australia)

Author keywords

Conditional expectation; Forecasting; GARCH models; Heteroscedasticity; Innovations; Random; Stochastic volatility

Indexed keywords

EID: 26644474952     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2005.05.015     Document Type: Article

References (12)

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