Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta-Reference-Cited by-同舟云学术

Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta

Published:2008-12 Issue:8 Volume:27 Page:670-689
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:J. Forecast.

Author:

Choudhry Taufiq,Wu Hao

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Reference52 articles.

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2. Bivariate GARCH estimation of the optimal commodity future hedge;Baillie;Journal of Applied Econometrics,1991

3. Black F. 1976. Studies of stock market volatility changes. In Proceedings of the American Statistical Association, Business and Economics Statistics Section; 177-181.

4. UK unit trust performance 1980-1989: a passive time-varying approach;Black;Journal of Banking and Finance,1992

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