Model Selection and Testing of Conditional and Stochastic Volatility Models
Year of publication: |
2010-10-12
|
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Authors: | Caporin, Massimiliano ; McAleer, Michael |
Institutions: | Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam |
Subject: | Value-at-Risk forecasts | asymmetry | leverage | model confidence set | non-nested models | volatility model comparison | volatility model selection |
Extent: | application/pdf |
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Series: | Econometric Institute Research Papers. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:ems:eureir Number EI 2010-57 |
Source: |
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Model Selection and Testing of Conditional and Stochastic Volatility Models
Caporin, M., (2010)
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Model Selection and Testing of Conditional and Stochastic Volatility Models
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