Showing 1 - 10 of 4,728
Persistent link: https://www.econbiz.de/10012150127
Persistent link: https://www.econbiz.de/10008668600
We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...
Persistent link: https://www.econbiz.de/10008990694
Persistent link: https://www.econbiz.de/10009315274
Persistent link: https://www.econbiz.de/10010513396
Persistent link: https://www.econbiz.de/10010514142
Persistent link: https://www.econbiz.de/10011282841
variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean forecasting as well as in terms of risk … forecasting. …
Persistent link: https://www.econbiz.de/10011303289
forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …
Persistent link: https://www.econbiz.de/10009771770
Persistent link: https://www.econbiz.de/10009691776