QARMA-Beta-t-EGARCH versus ARMA-GARCH : an application to S & P 500
Year of publication: |
February-March 2016
|
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Authors: | Blazsek, Szabolcs ; Mendoza, Vicente |
Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 48.2016, 10/12, p. 1119-1129
|
Subject: | QARMA-Beta-t-EGARCH | density forecasts | US financial crisis of 2008 | Finanzkrise | Financial crisis | Prognoseverfahren | Forecasting model | Statistische Verteilung | Statistical distribution | USA | United States | Theorie | Theory |
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