Out-of-sample density forecasts with affine jump diffusion models
Year of publication: |
2014
|
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Authors: | Yun, Jaeho |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 47.2014, p. 74-87
|
Subject: | Density forecasts | Time-series consistency | Affine jump diffusion | Time-varying jump risk premia | Particle filters | Beta transformation | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Statistische Verteilung | Statistical distribution | Optionspreistheorie | Option pricing theory | Risikoprämie | Risk premium | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Schätzung | Estimation |
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