Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model
Author:
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/0960310042000285794
Reference38 articles.
1. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
2. Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon
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5. The distribution of realized stock return volatility
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