Alright : asymmetric LaRge-scale (I)GARCH with Hetero-Tails
Year of publication: |
November 2015
|
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Authors: | Paolella, Marc S. ; Polak, Pawel |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 40.2015, p. 282-297
|
Subject: | Density forecasting | GARCH | Saddlepoint approximation | Shrinkage estimation | Weighted likelihood | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model | Statistische Verteilung | Statistical distribution |
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