Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/22659
Full metadata record
DC FieldValueLanguage
dc.contributor.authorKambouroudis, Dimos Sen_UK
dc.contributor.authorMcMillan, David Gen_UK
dc.date.accessioned2016-01-07T23:49:17Z-
dc.date.availablenull-
dc.date.issued2015-07en_UK
dc.identifier.urihttp://hdl.handle.net/1893/22659-
dc.description.abstractThere is limited research carried out to date in the academic literature addressing the issue of the ideal in-sample size when forecasting volatility. This paper therefore considers how much data is required in order to produce accurate forecasts. Broadly speaking, two views exist between practitioners/investors who typically prefer a small in-sample to minimise data holding requirements and researchers/academics who typically chose large in-sample periods. Using a process of expanding window regressions where the in-sample start period expands (backward recursion) we conduct forecasts over twenty-three international markets, including both developed and emerging. Our findings, which demonstrate a degree of homogeneity, show that for the majority of the markets large in-sample periods are not necessary in order to produce the most accurate forecasts supporting the practitioners’/investors’ view.en_UK
dc.language.isoenen_UK
dc.publisherElsevieren_UK
dc.relationKambouroudis DS & McMillan D (2015) Is there an ideal in-sample length for forecasting volatility?, Journal of International Financial Markets, Institutions and Money, 37, pp. 114-137. https://doi.org/10.1016/j.intfin.2015.02.006.en_UK
dc.rightsThe publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.en_UK
dc.subjectForecastingen_UK
dc.subjectIn-sampleen_UK
dc.subjectStock marketen_UK
dc.subjectVolatilityen_UK
dc.titleIs there an ideal in-sample length for forecasting volatility?en_UK
dc.typeJournal Articleen_UK
dc.rights.embargodate2999-12-04en_UK
dc.rights.embargoreason[Kambouroudis and McMillan_JIFMIM_2015.pdf] : The publisher does not allow this work to be made publicly available in this Repository therefore there is an embargo on the full text of the work.en_UK
dc.identifier.doi10.1016/j.intfin.2015.02.006en_UK
dc.citation.jtitleJournal of International Financial Markets, Institutions and Moneyen_UK
dc.citation.issn1042-4431en_UK
dc.citation.volume37en_UK
dc.citation.spage114en_UK
dc.citation.epage137en_UK
dc.citation.publicationstatusPublisheden_UK
dc.citation.peerreviewedRefereeden_UK
dc.type.statusVoR - Version of Recorden_UK
dc.author.emaild.s.kambouroudis@stir.ac.uken_UK
dc.citation.date04/03/2015en_UK
dc.contributor.affiliationAccounting & Financeen_UK
dc.contributor.affiliationAccounting & Financeen_UK
dc.identifier.isi000356599300009en_UK
dc.identifier.scopusid2-s2.0-84931569736en_UK
dc.identifier.wtid581511en_UK
dc.contributor.orcid0000-0002-8230-0028en_UK
dc.contributor.orcid0000-0002-5891-4193en_UK
dc.date.accepted2015-02-24en_UK
dc.date.firstcompliantdepositdate2016-01-07en_UK
dc.description.refREF Compliant by Deposit in Stirling's Repositoryen_UK
Appears in Collections:Accounting and Finance Journal Articles

Files in This Item:
File Description SizeFormat 
Kambouroudis and McMillan_JIFMIM_2015.pdfFulltext - Published Version4.7 MBAdobe PDFUnder Embargo until 2999-12-04    Request a copy


This item is protected by original copyright



Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.

If you believe that any material held in STORRE infringes copyright, please contact library@stir.ac.uk providing details and we will remove the Work from public display in STORRE and investigate your claim.