Daily data on the German market index return are used to consider multiple issues in a forecasting comparison of ARCH-type specifications. first, attention is p

In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. W

The performance of an ARCH model selection algorithm based on the standardized prediction error criterion (SPEC) is evaluated. The evaluation of the algorithm i

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