Low and high prices can improve covariance forecasts: The evidence based on currency rates-Reference-Cited by-同舟云学术

Low and high prices can improve covariance forecasts: The evidence based on currency rates

Published:2018-04-06 Issue:6 Volume:37 Page:641-649
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:Journal of Forecasting

Author:

Fiszeder Piotr¹^ORCID

Affiliation:

1. Department of Econometrics and Statistics, Faculty of Economics Sciences and Management; Nicolaus Copernicus University in Torun; Toruń Poland

Funder

Narodowe Centrum Nauki

Publisher

Wiley

Subject

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

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/for.2525/fullpdf

Reference36 articles.

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2. Modeling and forecasting realized volatility;Andersen;Econometrica,2003

3. Heterogeneous asymmetric dynamic conditional correlation model with stock return and range;Asai;Journal of Forecasting,2013

4. Baba , Y. Engle , R. F. Kraft D. F. Kroner K. F. 1990 Multivariate simultaneous generalized ARCH

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