1. Universidade do Minho
  2. Escola de Economia e Gestão | School of Economics and Management
  3. Núcleo de Investigação em Políticas Económicas
  4. NIPE - Documentos de Trabalho
Utilize este identificador para referenciar este registo: https://hdl.handle.net/1822/49398

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Campo DCValorIdioma
dc.contributor.authorAmado, Cristinapor
dc.contributor.authorSilvennoinen, Annastiinapor
dc.contributor.authorTerasvirta, Timopor
dc.date.accessioned2018-01-17T16:16:10Z-
dc.date.available2018-01-17T16:16:10Z-
dc.date.issued2017-03-
dc.identifier.citationAmado, C., Silvennoinen, A., & Teräsvirta, T. (2017). Modelling and forecasting WIG20 daily returns (No. 09/2017). NIPE-Universidade do Minhopor
dc.identifier.urihttps://hdl.handle.net/1822/49398-
dc.description.abstractThe purpose of this paper is to model daily returns of the WIG20 index. The idea is to consider a model that explicitly takes changes in the amplitude of the clusters of volatility into account. This variation is modelled by a positive-valued deterministic component. A novelty in specification of the model is that the deterministic component is specified before estimating the multiplicative conditional variance component. The resulting model is subjected to misspecification tests and its forecasting performance is compared with that of commonly applied models of conditional heteroskedasticity.por
dc.description.sponsorshipCOMPETE 2020, Portugal 2020, FEDER, FCTpor
dc.language.isoengpor
dc.publisherUniversidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)por
dc.relationinfo:eu-repo/grantAgreement/FCT/5876/147291/PTpor
dc.rightsopenAccesspor
dc.subjectAutoregressive conditional heteroskedasticitypor
dc.subjectForecasting volatilitypor
dc.subjectModelling volatilitypor
dc.subjectMultiplicative time-varying GARCHpor
dc.subjectSmooth transitionpor
dc.titleModelling and forecasting WIG20 daily returnspor
dc.typeworkingPaperpor
dc.relation.publisherversionhttp://www.nipe.eeg.uminho.pt/Uploads/WP_2017/NIPE%20WP_09_2017.pdfpor
oaire.citationConferencePlaceBraga, Portugalpor
oaire.citationVolume9por
dc.subject.fosCiências Sociais::Economia e Gestãopor
dc.description.publicationversioninfo:eu-repo/semantics/publishedVersionpor
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