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Forecasting volatility using LINEX loss functions

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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).

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Official URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfr...

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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:
DateEvent
June 1999Published
Volume: Vol.1999
Number: No.20
Status: Not Peer Reviewed
Access rights to Published version: Open Access

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