The Library
Forecasting volatility using LINEX loss functions
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).
|
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Status: | Not Peer Reviewed | ||||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 (Creative Commons) |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |
Downloads
Downloads per month over past year