Work

Forecasting S&P-100 stock index volatility: The role of volatility asymmetry and distributional assumption in GARCH models

Year: 2009

Type: article

Source: Expert Systems with Applications

DOI: 10.1016/j.eswa.2009.12.022

Authors: Hung-Chun Liu, Jui-Cheng Hung

Institutions: Minghsin University of Science and Technology, Lunghwa University of Science and Technology

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: National Science Council

OpenAlex ID: W2005011583

FWCI: 4.253

Cites: 47

Cited by: 115

Related to: 10