Testing for Longer Horizon Predictability of Return Volatility with an Application to the German
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More about this item
Keywords
financial returns volatility; predictability; forecasting; interval forecast evaluation; density forecast evaluation;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2003-10-20 (Corporate Finance)
- NEP-ECM-2003-10-20 (Econometrics)
- NEP-ETS-2003-10-20 (Econometric Time Series)
- NEP-FIN-2003-10-20 (Finance)
- NEP-FMK-2003-10-20 (Financial Markets)
- NEP-RMG-2003-10-20 (Risk Management)
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