Skip to Main content Skip to Navigation
Reports

Forecasting Conditional Volatility with Garch and Change of Regime Models: International Evidence

Michael Rockinger 1 M. Crouhy
1 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC
Keywords : Forecasting Conditional Volatility Garch Change Regime Models International Evidence
Complete list of metadatas
https://hal-hec.archives-ouvertes.fr/hal-00612796
Contributor : Antoine Haldemann <>
Submitted on : Sunday, July 31, 2011 - 3:00:05 PM
Last modification on : Thursday, January 11, 2018 - 6:19:31 AM

Identifiers

  • HAL Id : hal-00612796, version 1

Collections

HEC | PARISTECH | CNRS | LARA

Citation

Michael Rockinger, M. Crouhy. Forecasting Conditional Volatility with Garch and Change of Regime Models: International Evidence. 1994. ⟨hal-00612796⟩

Export

BibTeX TEI DC DCterms EndNote

Share

Metrics

Record views

177

Contact

Informations

CCSD