Forecasting Volatility with Copula-Based Time Series Models
Year of publication: |
2011
|
---|---|
Authors: | Sokolinskiy, Oleg ; van Dijk, Dick |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Nonlinear dependence | long memory | copulas | volatility forecasting |
Series: | Tinbergen Institute Discussion Paper ; 11-125/4 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 739329294 [GVK] hdl:10419/87332 [Handle] RePEc:dgr:uvatin:20110125 [RePEc] |
Classification: | C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; c58 ; G17 - Financial Forecasting |
Source: |
-
Forecasting volatility with Copula-based time series models
Sokolinskiy, Oleg, (2011)
-
Forecasting Volatility with Copula-Based Time Series Models
Sokolinskiy, Oleg, (2011)
-
Forecasting Volatility with Copula-Based Time Series Models
Sokolinskiy, Oleg, (2011)
- More ...
-
Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support
Diks, Cees, (2013)
-
Forecasting volatility with Copula-based time series models
Sokolinskiy, Oleg, (2011)
-
Comparing the accuracy of copula-based multivariate density forecasts in selected regions of support
Diks, Cees G. H., (2013)
- More ...