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- W2531172836 abstract "Knowledge of the dynamic properties and the higher moments of the distribution of returns on financialassets is of particular importance, since these processes exhibit volatility clustering and their distributions arealso known to be non-normal. Thus the forecasting ability of GARCH models, which capture both of theseeffects, has been the subject of numerous research papers in the financial econometrics literature. However,most papers consider only the point variance forecasts generated by a GARCH process. This paper showshow approximate predictive distributions for forward and cumulative future returns and variances, in ageneric asymmetric GARCH model, can be constructed. These are based on new analytic formulae for thefirst four moments, of the conditional returns and conditional variance distributions, and of the aggregatedreturns and variances." @default.
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- W2531172836 date "2009-04-01" @default.
- W2531172836 modified "2023-09-27" @default.
- W2531172836 title "Analytic Moments For Conditional And Aggregated GARCH Variances And Returns" @default.
- W2531172836 hasPublicationYear "2009" @default.
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