Evaluating the Forecast Performance of Smooth Transition Volatility Models

Felix Chan; Michael Mcaleer

Evaluating the Forecast Performance of Smooth Transition Volatility Models

Felix Chan, Michael Mcaleer

Graduate Research School

Research output: Chapter in Book/Conference paper › Conference paper › peer-review

Original language	English
Title of host publication	Proceedings of the International Congress on Modelling & Simulation
Editors	F. Ghessemi, M. McAleer, L. Oxley, M. Scoccimarro
Place of Publication	Western Australia
Publisher	Modelling and Simulation Society of Australia and New Zealand Inc.
Pages	1349-1354
Volume	3
Edition	ANU, Canberra
ISBN (Print)	0867405252
Publication status	Published - 2001
Event	Evaluating the Forecast Performance of Smooth Transition Volatility Models - ANU, Canberra Duration: 1 Jan 2001 → …

Conference

Conference	Evaluating the Forecast Performance of Smooth Transition Volatility Models
Period	1/01/01 → …

Cite this

Chan, Felix ; Mcaleer, Michael. / Evaluating the Forecast Performance of Smooth Transition Volatility Models. Proceedings of the International Congress on Modelling & Simulation. editor / F. Ghessemi ; M. McAleer ; L. Oxley ; M. Scoccimarro. Vol. 3 ANU, Canberra. ed. Western Australia : Modelling and Simulation Society of Australia and New Zealand Inc., 2001. pp. 1349-1354

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title = "Evaluating the Forecast Performance of Smooth Transition Volatility Models",

author = "Felix Chan and Michael Mcaleer",

year = "2001",

language = "English",

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volume = "3",

pages = "1349--1354",

editor = "F. Ghessemi and M. McAleer and L. Oxley and M. Scoccimarro",

booktitle = "Proceedings of the International Congress on Modelling & Simulation",

publisher = "Modelling and Simulation Society of Australia and New Zealand Inc.",

edition = "ANU, Canberra",

note = "Evaluating the Forecast Performance of Smooth Transition Volatility Models ; Conference date: 01-01-2001",

}

Chan, F & Mcaleer, M 2001, Evaluating the Forecast Performance of Smooth Transition Volatility Models. in F Ghessemi, M McAleer, L Oxley & M Scoccimarro (eds), Proceedings of the International Congress on Modelling & Simulation. ANU, Canberra edn, vol. 3, Modelling and Simulation Society of Australia and New Zealand Inc., Western Australia, pp. 1349-1354, Evaluating the Forecast Performance of Smooth Transition Volatility Models, 1/01/01.

Evaluating the Forecast Performance of Smooth Transition Volatility Models. / Chan, Felix; Mcaleer, Michael.
Proceedings of the International Congress on Modelling & Simulation. ed. / F. Ghessemi; M. McAleer; L. Oxley; M. Scoccimarro. Vol. 3 ANU, Canberra. ed. Western Australia: Modelling and Simulation Society of Australia and New Zealand Inc., 2001. p. 1349-1354.

Research output: Chapter in Book/Conference paper › Conference paper › peer-review

TY - GEN

T1 - Evaluating the Forecast Performance of Smooth Transition Volatility Models

AU - Chan, Felix

AU - Mcaleer, Michael

PY - 2001

Y1 - 2001

M3 - Conference paper

SN - 0867405252

VL - 3

SP - 1349

EP - 1354

BT - Proceedings of the International Congress on Modelling & Simulation

A2 - Ghessemi, F.

A2 - McAleer, M.

A2 - Oxley, L.

A2 - Scoccimarro, M.

PB - Modelling and Simulation Society of Australia and New Zealand Inc.

CY - Western Australia

T2 - Evaluating the Forecast Performance of Smooth Transition Volatility Models

Y2 - 1 January 2001

ER -