ID | 281058 |
Call Number | IMF/WP/03/131/261151 |
Title Proper | Predictive ability of asymmetric volatility models at medium-term horizons |
Language | ENG |
Author | Kisinbay, Turgut |
Publication | WAshington, INternational Monetary Fund, 2003. |
Description | 38p 28cm |
Series | IMF Working Paper No.131 |
Summary / Abstract (Note) | IMF WP/03/131--WP/03/140 |
Price. Qualification | GIPE Dep |
Classification Number | IMF |
Key Words | Integrated volatility ; High-frequency data ; Realized volatility ; Asymmetric volatility ; GARCH |