Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data

DOI10.1080/02664763.2019.1666093OpenAlexW2936960333WikidataQ127228456 ScholiaQ127228456MaRDI QIDQ5037041

Hossein Hassani, Rangan Gupta, Juncal Cunado, Mohammad Reza Yeganegi

Publication date: 25 February 2022

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2019.1666093

zbMATH Keywords

interest ratesforecastingvolatilityGARCH modelserror distributions

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Cites Work

• Unnamed Item
• Unnamed Item
• Discrete time series, processes, and applications in finance.
• Skew scale mixtures of normal distributions: properties and estimation
• Efficient estimation in semiparametric GARCH models
• Generalized autoregressive conditional heteroscedasticity
• An algorithm for nonparametric GARCH modelling.
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• The Dynamics of Short-Term Interest Rate Volatility Reconsidered
• On a Mixture Autoregressive Model
• Threshold heteroskedastic models