Volatility Forecasting in Bull and Bear Markets: Evidence from the US stock market
This thesis considers the performance of variance forecasting in US market index during bull and bear markets. The market index I investigate is the Standard & Poor’s 500 and the bear period I examine is from 15/8/2000 until 30/1/2003 and the bull period is from 3/3/2003 until 30/3/2007. The tec...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2016
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| Online Access: | http://eprints.nottingham.ac.uk/36553/ http://eprints.nottingham.ac.uk/36553/2/Epameinondas%20Sideris.pdf |