Modelling and Forecasting Volatility Dynamics Using Quadratic GARCH-Factor Models: Empirical Evidence from International Foreign Exchange Markets - Archive ouverte HAL
Chapitre D'ouvrage Année : 2009

Modelling and Forecasting Volatility Dynamics Using Quadratic GARCH-Factor Models: Empirical Evidence from International Foreign Exchange Markets

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Statistiques [math.ST] Théorie [stat.TH] Applications [stat.AP]

Christian Lavergne  : Connectez-vous pour contacter le contributeur

https://hal.science/hal-00327476

Soumis le : mercredi 8 octobre 2008-15:12:12

Dernière modification le : vendredi 5 avril 2024-16:14:01

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hal-00327476 , version 1 (08-10-2008)

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  • HAL Id : hal-00327476 , version 1

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Christian Lavergne, Mohamed Saidane. Modelling and Forecasting Volatility Dynamics Using Quadratic GARCH-Factor Models: Empirical Evidence from International Foreign Exchange Markets. George I. Ellison. Stock Returns: Cyclicity, Prediction and Economic Consequences, Nova Science Publishers, Inc., 2009, Financial Institutions and Services Series. ⟨hal-00327476⟩

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CNRS UNIV-MONTP3 I3M_UMR5149 IMAG-MONTPELLIER UNIV-MONTPELLIER
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