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Time series mixtures of generalized t experts : ML estimation and an application to stock return density forecasting

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Comments on "A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices"

Carnero, M. Angeles - In: International journal of forecasting 28 (2012) 1, pp. 36-38

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Enhanced forecasting methods, fat tails, and their applications in finance

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Volatility modeling for forecasting stock index with fixed parameter distributional assumption

Rahman, Md. Mostafizur; Rahman, Md. Azizur; Hossain, … - In: Journal of applied finance & banking 3 (2013) 1, pp. 109-122

The aim of this paper is to empirically investigate the in sample and out of sample forecasting performance of several GARCH-type models such as GARCH, EGARCH and APARCH model with Gaussian, student-t, Generalized error distribution (GED), student-t with fixed DOF 10 and GED with fixed parameter...

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Semiparametric density forecasts of daily financial returns from intraday data

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