Model Selection and Testing of Conditional and Stochastic Volatility Models
Year of publication: |
2010-09
|
---|---|
Authors: | Caporin, Massimiliano ; McAleer, Michael |
Institutions: | Institute of Economic Research, Kyoto University |
Subject: | Volatility model selection | volatility model comparison | non-nested models | model confidence set | Value-at-Risk forecasts | asymmetry | leverage |
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