Time-changed GARCH versus the GARJI model for prediction of extreme news events : an empirical study
Year of publication: |
2012
|
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Authors: | Kao, Lie Jane ; Wu, Po-cheng ; Lee, Cheng F. |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 21.2012, 1, p. 115-129
|
Subject: | GARJI model | Ex post filter | VG NGARCH model | Variance-gamma model | Ex ante probability | Theorie | Theory | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Volatilität | Volatility | Börsenkurs | Share price | Wahrscheinlichkeitsrechnung | Probability theory |
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