Forecasting volatility with Copula-based time series models
Oleg Sokolinskiy; Dick van Dijk
| Year of publication: |
2011
|
|---|---|
| Authors: | Sokolinskiy, Oleg ; Dijk, Dick van |
| Publisher: |
Rotterdam |
| Subject: | Nonlinear dependence | Long memory | Copulas | Volatility forecasting | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Multivariate Verteilung | Multivariate distribution | Prognoseverfahren | Forecasting model | Theorie | Theory | ARCH-Modell | ARCH model | Nichtlineare Regression | Nonlinear regression |
freely available
| Extent: | Online-Ressource (27 S.) graph. Darst. |
|---|---|
| Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. 2011,125 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Other identifiers: | hdl:10419/87332 [Handle] |
| Classification: | C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; c58 ; G17 - Financial Forecasting |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009720755