Can skewed GARCH-Type distributions improve volatility forecasts during global financial crisis?
Year of publication: |
2017
|
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Authors: | Yang, Jack J. W. ; Li, Chien-Tsung |
Published in: |
The international journal of business and finance research : IJBFR. - Hilo, Hawaii : IBFR, ISSN 1931-0269, ZDB-ID 2536566-6. - Vol. 11.2017, 2, p. 39-50
|
Subject: | Volatility Forecast | Mode Confidence Set (MCS) | Global Financial Crisis | Giacominiand White Test (GW Test) | Volatilität | Volatility | Finanzkrise | Financial crisis | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Statistischer Test | Statistical test | Welt | World | Internationaler Finanzmarkt | International financial market |
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