Density forecasts and the leverage effect : evidence from observation and parameter-driven volatility models
Year of publication: |
2020
|
---|---|
Authors: | Catania, Leopoldo ; Nonejad, Nima |
Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 26.2020, 2/3, p. 100-118
|
Subject: | Conditional volatility | density forecasts | leverage effect | wCRPS | Theorie | Theory | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Börsenkurs | Share price |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1080/1351847X.2019.1586744 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de, (2002)
-
Forecasting daily return densities from intraday data : a multifractal approach
Hallam, Mark, (2014)
-
Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de, (2002)
- More ...
-
Switching-GAS Copula Models for Systemic Risk Assessment
Bernardi, Mauro, (2015)
-
Are news important to predict large losses?
Bernardi, Mauro, (2014)
-
The Model Confidence Set package for R
Bernardi, Mauro, (2014)
- More ...