Evaluating the Forecasting Performance of GARCH Models. Evidence from Romania
Author:
Publisher
Elsevier BV
Subject
General Medicine
Reference19 articles.
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2. Andersen, T.G., Bollerlev, T., Christoffersen, P.F., & Diebold, F.X. (2006b). Practical volatility and correlation modelling for financial markets risk management. In M. Carey, & R. Schultz (eds), Risks of Financial Institutions (pp. 513-548). Chicago: University of Chicago Press for NBER.
3. Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics, 31, 307-327.
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