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Volatility forecasting without data-snooping · Study

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ArticleVolatility forecasting without data-snooping

Elroy Dimson1990

Article1990

Volatility forecasting without data-snooping

Elroy Dimson · Paul Marsh

155 citations·0/0 files stored·Journal of Banking & Finance

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Financial Risk and Volatility Modeling Forecasting Techniques and Applications Stock Market Forecasting Methods

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References

1986Generalized autoregressive conditional heteroskedasticity 1987Expected stock returns and volatility 1989Why Does Stock Market Volatility Change Over Time?1980On estimating the expected return on the market 1986Modelling the persistence of conditional variances 1989Why Does Stock Market Volatility Change Over Time?1989Heteroskedasticity in Stock Returns 1973The Variability of the Market Factor of the New York Stock Exchange

Cited by

1997On the Covariance Matrices Used in Value at Risk Models 2000Forecasting UK stock market volatility 1997Linear and Non-linear (Non-)Forecastability of High-frequency Exchange Rates 2007Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching 2009Forecasting volatility with support vector machine‐based GARCH model 2006Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using Garch Models

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Details

Year1990

Typearticle

Published1990-08-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations155

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/0378-4266(90)90056-8

openalex_workW1963955834

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1995Capital Requirements for Securities Firms

2000A word of caution on calculating market-based minimum capital risk requirements