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1. 1. Volatility Forecasting in Bull & Bear Markets

   University essay from Göteborgs universitet/Graduate School

   Author : Karl Oskar Ekvall; [2012-07-25]
   Keywords : ;

   Abstract : This thesis considers the performance of variance forecasting in bull and bear markets. Three asset indices, the DAX, the Standard & Poor’s 500 and the CurrencyShares Euro Trust, are split into bull and bear periods whereby variance forecasting is evaluated in the two states. READ MORE