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Applied Economics Letters Volume 11, 2004 - Issue 7
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Original Articles

A study of financial volatility forecasting techniques in the FTSE/ASE 20 index

K. Maris School of Electrical and Computer Engineering, Forecasting Systems Unit, National Technical University of Athens, 9, Iroon Polytechniou Str., 15773 Zografou Athens, Greece
,
G. Pantou School of Electrical and Computer Engineering, Forecasting Systems Unit, National Technical University of Athens, 9, Iroon Polytechniou Str., 15773 Zografou Athens, Greece
,
K. Nikolopoulos School of Electrical and Computer Engineering, Forecasting Systems Unit, National Technical University of Athens, 9, Iroon Polytechniou Str., 15773 Zografou Athens, Greece
,
E. PagourtzI School of Electrical and Computer Engineering, Forecasting Systems Unit, National Technical University of Athens, 9, Iroon Polytechniou Str., 15773 Zografou Athens, Greece
&
V. Assimakopoulos School of Electrical and Computer Engineering, Forecasting Systems Unit, National Technical University of Athens, 9, Iroon Polytechniou Str., 15773 Zografou Athens, Greece
Pages 453-457 | Published online: 16 Aug 2006

References

References

  • Alexander C 1999 Risk Management and Analysis, Volume 1: Measuring and Modelling Financial Risk, John Wiley & Sons Chichester
  • Assimakopoulos , V and Vafopoulos , M . 2000 . Financial volatility forecasting . Economic & Financial Computing , 10
  • Bank of Greece Bank of Greece Monthly Statistical Bulletin Issue 66
  • Bank of Greece 2002 The adoption of the Euro in Greece available at: http://www.bankofgreece.gr/en/euro/Changeover.htm (accessed 29 September 2002)
  • Fildes , R , Hibon , M , Makridakis , S and Meade , N . 1998 . Generalising about univariate forecasting methods: further empirical evidence . International Journal of Forecasting , 14 : 339 – 58 .
  • Hull CJ 1997 Options, Futures and Other Derivatives 3rd edn Prentice Hall London
  • Makridakis , S . 1990 . Sliding simulation: a new approach to time series forecasting . Management Science , 36 : 505 – 12 .
  • Makridakis S Wheelwright S Hyndman R 1998 Forecasting Methods and Applications 3rd edn John Wiley & Sons Chichester

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