Comparison of forecasting performance between MODWT-GARCH (1,1) and MODWT-EGARCH (1,1) models: Evidence from African stock markets-Reference-Cited by-同舟云学术

Comparison of forecasting performance between MODWT-GARCH (1,1) and MODWT-EGARCH (1,1) models: Evidence from African stock markets

Published:2016-12 Issue:4 Volume:2 Page:254-264
ISSN:2405-9188
Container-title:The Journal of Finance and Data Science
language:en
Short-container-title:The Journal of Finance and Data Science

Author:

Ismail Mohd Tahir^ORCID,Audu Buba,Tumala Mohammed Musa

Publisher

Elsevier BV

Subject

Applied Mathematics,Computer Science Applications,Economics and Econometrics,Finance,Business, Management and Accounting (miscellaneous),Statistics and Probability

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4. Measuring and testing the impact of news on volatility;Engle;J Financ,1993

5. On the relation between the expected value and the volatility of the nominal excess return on stocks;Glosten;J Financ,1993

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