Comparison of forecasting performances: Does normalization and variance stabilization method beat GARCH(1,1)-type models? Empirical evidence from the stock markets-Reference-Cited by-同舟云学术

Comparison of forecasting performances: Does normalization and variance stabilization method beat GARCH(1,1)-type models? Empirical evidence from the stock markets

Published:2017-06-16 Issue:2 Volume:37 Page:133-150
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:Journal of Forecasting

Author:

Gulay Emrah¹,Emec Hamdi¹

Affiliation:

1. Department of Econometrics; Dokuz Eylul University; Buca, Izmir Turkey

Publisher

Wiley

Subject

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

Reference36 articles.

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4. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986

5. Brzeszczynski , J. Welfe , A. 2004 Determinants of short-term volatility at the Warsaw stock exchange: In-sample vs.out-of-sample forecasts from factor and predictive GARCH models CERT Discussion Papers, No.408

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