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Additive outliers, GARCH and forecasting volatility
Franses, Philip Hans; Ghijsels, Hendrik - In: International journal of forecasting 15 (1999) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10001428359
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Analytic moments for GJR-GARCH (1, 1) processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International journal of forecasting 37 (2021) 1, pp. 105-124
Persistent link: https://www.econbiz.de/10012692629
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Static and dynamic models for multivariate distribution forecasts : proper scoring rule tests of factor-quantile versus multivariate GARCH models
Alexander, Carol; Han, Yang; Meng, Xiaochun - In: International journal of forecasting 39 (2023) 3, pp. 1078-1096
Persistent link: https://www.econbiz.de/10014465245