Evaluating the forecasting performance of GARCH models using White´s Reality Check
| Year of publication: |
2002
|
|---|---|
| Authors: | Souza, Leonardo ; Veiga, Alvaro ; Medeiros, Marcelo C. |
| Publisher: |
Rio de Janeiro : Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia |
| Subject: | Prognoseverfahren | Zeitreihenanalyse | ARCH-Modell | time seris | GARCH models | bootstrap | reality check | volatility | financial econometrics | Monte Carlo | forecasting | riskmetrics | moving average |
| Series: | Texto para discussão ; 453 |
|---|---|
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Working Paper |
| Language: | English |
| Other identifiers: | 348838298 [GVK] hdl:10419/175940 [Handle] RePEc:rio:texdis:453 [RePEc] |
| Classification: | C45 - Neural Networks and Related Topics ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G12 - Asset Pricing |
| Source: |
Persistent link: https://www.econbiz.de/10011807281