The longer-horizon predictability of German stock market volatility

This paper examines the predictability of the volatility of the German DAX stock index over a range of 1–45 trading days with a new test procedure. In contrast to earlier findings, according to which the volatility of the DAX is only predictable about 15 trading days into the future, the new test su...

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Bibliographic details
Volume: 22
Main Author: Raunig, Burkhard
Format: Journal Article
Language: English
Zielgruppe: Trade
Academic
Place of publication: AMSTERDAM Elsevier B.V 01.04.2006
ELSEVIER SCIENCE BV
Elsevier
Elsevier Sequoia S.A
published in: International journal of forecasting Vol. 22; no. 2; pp. 363 - 372
Data of publication: April-June 2006
ISSN: 0169-2070
1872-8200
EISSN: 1872-8200
Discipline: Social Sciences (General)
Economics
Series: International Journal of Forecasting
Subjects:
C53
C12
G10
C53
C12
G10
Online Access: available in Bonn?
CODEN: IJFOEK
Database: Social Sciences Citation Index
Web of Science - Social Sciences Citation Index - 2006
Web of Knowledge
Web of Science
RePEc
RePEc IDEAS
CrossRef
Academic OneFile (A&I only)
ProQuest One Business (Alumni)
ProQuest One Business
Database information Databases - DBIS