The two-component Beta-t-QVAR-M-lev : a new forecasting model
Michel Ferreira Cardia Haddad, Szabolcs Blazsek, Philip Arestis, Franz Fuerst, Hsia Hua Sheng
| Year of publication: |
2023
|
|---|---|
| Authors: | Haddad, Michel Ferreira Cardia ; Blazsek, Szabolcs ; Arestis, Philip ; Fuerst, Franz ; Sheng, Hsia Hua |
| Published in: |
Financial markets and portfolio management. - Norwell, Mass. : Springer, ISSN 2373-8529, ZDB-ID 2097963-0. - Vol. 37.2023, 4, p. 379-401
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| Subject: | Dynamic conditional score (DCS) | Dynamic volatility models | Generalized autoregressive score (GAS) | Volatility forecasting | ARCH-Modell | ARCH model | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11408-023-00431-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014420497