Sudden changes in extreme value volatility estimator : modeling and forecasting with economic significance analysis
Dilip Kumar (Indian Institute of Management Kashipur (IIM Kashipur), Uttarakhand, India)
| Year of publication: |
September 2015
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|---|---|
| Authors: | Kumar, Dilip |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 49.2015, p. 354-371
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| Subject: | CARRS model | Rogers and Satchell estimator | Forecast evaluation | Volatility modeling | GARCH model | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Modellierung | Scientific modelling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2015.05.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011439594