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Content horizons for conditional variance forecasts

Article Abstract:

Comparison of forecasts of daily variance from standard Generalized Autoregressive Conditional Heteroskedasticity (GARCH) and FIGARCH models estimated by Quasi-Maximum Likelihood (QML), and from projections on past realized volatilities obtained from high-frequency data, using realized variance to estimate daily conditional variance of financial returns, is presented.

Author: Galbraith, John W., Kismbay, Turgut
Publisher: Elsevier B.V.
Publication Name: International Journal of Forecasting
Subject: Economics
ISSN: 0169-2070
Year: 2005
Canada, Usage, Comparative analysis, Autoregression (Statistics), Heteroscedasticity, Variance (Statistics)

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Effect of tapering of accuracy of forecasts made with stable estimators of vector autoregressive processes

Article Abstract:

A study on the effect of tapering data on accuracy of forecasts in vector autoregressive processes is presented.

Author: Roy, Anindya, Zhou, Yan Yan
Publisher: Elsevier B.V.
Publication Name: International Journal of Forecasting
Subject: Economics
ISSN: 0169-2070
Year: 2006
Analysis, Databases, Database, CD-ROM catalog, CD-ROM database

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Subjects list: United States, Forecasting
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