An evaluation of volatility forecasting techniques
- 1 April 1996
- journal article
- Published by Elsevier in Journal of Banking & Finance
- Vol. 20 (3) , 419-438
- https://doi.org/10.1016/0378-4266(95)00015-1
Abstract
No abstract availableKeywords
This publication has 30 references indexed in Scilit:
- Australian Stock Market Volatility: 1875–1987*Economic Record, 1993
- Forecasting volatility in the Singapore stock marketAsia Pacific Journal of Management, 1992
- A contribution to event study methodology with an application to the Dutch stock marketJournal of Banking & Finance, 1992
- Stock Market VolatilityCFA Magazine, 1990
- A twist on the Monday effect in stock prices: Evidence from the U.S. and foreign stock marketsJournal of Banking & Finance, 1989
- Expected stock returns and volatilityJournal of Financial Economics, 1987
- Day of the Week Effects On Stock Returns: International EvidenceJournal of Business Finance & Accounting, 1987
- The Non‐Stationarity of Share Price VolatilityAccounting & Finance, 1986
- Modelling the persistence of conditional variancesEconometric Reviews, 1986
- Risk and Return from Equity Investments in the Australian Mining Industry: January 1958 — February 1979Australian Journal of Management, 1980