The Library
Forecasting volatility using LINEX loss functions
Tools
Tools
Tools
Hwang, Soosung, Knight, John L. and Satchell, S. (Stephen) (1999) Forecasting volatility using LINEX loss functions. Working Paper. University of Warwick: Warwick Business School Financial Econometrics Research Centre. Working Papers Series, Vol.1999 (No.20).
![[img]](http://wrap.warwick.ac.uk/style/images/fileicons/application_pdf.png)
|
PDF
WRAP_Hwang_fwp99-20.pdf - Requires a PDF viewer. Download (1054Kb) |
Official URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfr...
Abstract
This paper applies the LINEX loss functions to volatility forecasting. We derive the optimal one-step-ahead LINEX forecast for various volatility models. Our results suggest that the LINEX loss function may give us better forecasts than conventional ones.
| Item Type: | Working or Discussion Paper (Working Paper) | ||||
|---|---|---|---|---|---|
| Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
||||
| Divisions: | Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre Faculty of Social Sciences > Warwick Business School |
||||
| Library of Congress Subject Headings (LCSH): | Financial risk -- Mathematical models, Econometrics | ||||
| Series Name: | Working Papers Series | ||||
| Publisher: | Warwick Business School Financial Econometrics Research Centre | ||||
| Place of Publication: | University of Warwick | ||||
| Official Date: | June 1999 | ||||
| Dates: |
|
||||
| Volume: | Vol.1999 | ||||
| Number: | No.20 | ||||
| Status: | Not Peer Reviewed | ||||
| Access rights to Published version: | Open Access |
Request changes or add full text files to a record
Repository staff actions (login required)
 |
View Item |
Downloads
Downloads per month over past year
