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http://hdl.handle.net/1842/1833
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| Title: | Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate. |
| Authors: | Balaban, Ercan |
| Issue Date: | 2002 |
| Publisher: | Management School and Economics. The University of Edinburgh |
| Series/Report no.: | CFMR
02.06 |
| Abstract: | The relative out-of-sample forecasting quality of symmetric and asymmetric conditional volatility
models of an exchange rate differs according to the symmetric and asymmetric evaluation criteria as
well as a regression-based test of efficiency. Both symmetric and asymm |
| Keywords: | econonics
exchange rates
Volatility clustering
symmetric/asymmetric volatility |
| URI: | http://hdl.handle.net/1842/1833 |
| Appears in Collections: | Business and Management Research Publications
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