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