Prediction of index futures returns and the analysis of financial spillovers-A comparison between GARCH and the grey theorem

DOI10.1016/j.ejor.2007.02.046zbMath1134.91032MaRDI QIDQ2426549

Shang-Wu Yu, Ling-Ming Kung

Publication date: 22 April 2008

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2007.02.046

zbMATH Keywords

grey prediction; spillover effects; TGARCH; GM\((1, N)\); local grey relational analysis

Mathematics Subject Classification ID

91B26: Auctions, bargaining, bidding and selling, and other market models

91B74: Economic models of real-world systems (e.g., electricity markets, etc.)