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Forecasting stock indices: a comparison of classification and level estimation models

✍ Scribed by Mark T. Leung; Hazem Daouk; An-Sing Chen


Book ID
114175137
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
170 KB
Volume
16
Category
Article
ISSN
0169-2070

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is one of the first researchers to point out the changing nature of stock market volatility. Wiggins (1987) and Hull and White (1987) have developed option models that provide for a stochastic variance input.