Modeling time-varying skewness via decomposition for out-of-sample forecast
Xiaochun Liu (School of Economics, Southwestern University of Finance and Economics, Chengdu Sichuan, China, Department of Economics, Temple University, Philadelphia, PA, USA)
| Year of publication: |
April-June 2015
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| Authors: | Liu, Xiaochun |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 31.2015, 2, p. 296-311
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| Subject: | Nonlinear dependence | Copula constancy tests | Dynamic tail dependence and asymmetry | Fluctuation tests | Skewness timing | Volatility timing | Forecast combination | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Multivariate Verteilung | Multivariate distribution | Statistische Verteilung | Statistical distribution | Theorie | Theory | Schätzung | Estimation | ARCH-Modell | ARCH model | Zeit | Time |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2014.03.020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011474059