Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals?
Publication date:
2016
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Citación:
Journal of Forecasting, 35(2), p. 113-146 (2016); doi:10.1002/for.2371
Descripción física:
p. 113-146
ISSN:
DOI:
Patrocinado por:
Financial support from both the European Commission through MRTN-CT-2006-034270 COMISEF and from Spain's Ministerio de Ciencia e Innovacion (MICINN) through Acciones Integradas Hispano-Alemanas 2012, co-financed by the German Academic Exchange Service (DAAD) through PPP Spanien 2012, research grant 54367957, is kindly acknowledged.
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