This paper addresses several questions surrounding volatility forecasting and its use in the estimation of optimal hedging ratios. Specifically: Are there economic gains by nesting time-series econometric models (GARCH) and dynamic programming models (therefore forecasting volatility several periods
β¦ LIBER β¦
FORECASTING VOLATILITY IN THE PRESENCE OF MODEL INSTABILITY
β Scribed by John M. Maheu; Jonathan J. Reeves; Xuan Xie
- Book ID
- 110971707
- Publisher
- John Wiley and Sons
- Year
- 2010
- Tongue
- English
- Weight
- 510 KB
- Volume
- 52
- Category
- Article
- ISSN
- 1369-1473
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