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Evaluating the performance of GARCH models using White´s Reality Check

Leonardo Souza, Alvaro Veiga and Marcelo Medeiros ()
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Alvaro Veiga: Department of Electrical Engineering PUC-Rio

No 453, Textos para discussão from Department of Economics PUC-Rio (Brazil)

Keywords: time seris; GARCH models; bootstrap; reality check; volatility; financial econometrics; Monte Carlo; forecasting; riskmetrics; moving average (search for similar items in EconPapers)
JEL-codes: C45 C51 C52 C61 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-lab
Date: 2002-04
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Published in Brazilian Review of Econometrics, v. 25, n.1, 2005

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