Forecasting volatility with outliers in GARCH models

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Journal of forecasting
1. Verfasser: Charles, Amélie (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: 2008
Schlagworte:
ARCH-Modell > Volatilität > Prognoseverfahren > Statistische Methode > Aufsatz in Zeitschrift
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Titel Jahr Verfasser
Predicting systemic risk with entropic indicators 2017 Gradojevic, Nikola
The informational content of the term spread in forecasting the US inflation rate : a nonlinear approach 2017 Plakandaras, Vasilios
Modeling and forecasting online auction prices : a semiparametric regression analysis 2017 Chan, Ngai Hang
On the modelling and forecasting of multivariate realized volatility : generalized heterogeneous autoregressive (GHAR) model 2017 Čech, František
Multicategory purchase incidence models for partitions of product categories 2017 Hruschka, Harald
Adaptive interest rate modelling 2017 Guo, Mengmeng
On the predictive information of futures' prices : a wavelet-based assessment 2017 Herwartz, Helmut
An inhomogeneous hidden Markov model for efficient virtual machine placement in cloud computing environments 2017 Hammer, Hugo Lewi
Forecasting inflation across euro area countries and sectors : a panel VAR approach 2017 Dées, Stéphane
Incorporating the Beige Book into a quantitative index of economic activity 2017 Balke, Nathan S.
Forecasting with specification‐switching VARs 2017 Hwang, Youngjin
Improvement of the Liu‐type Shiller estimator for distributed lag models 2017 Özbay, Nimet
PARX model for football match predictions 2017 Angelini, Giovanni
The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models 2017 Ardia, David
The US dollar/euro exchange rate : structural modeling and forecasting during the recent financial crises 2017 Morana, Claudio
New evidence on the ability of asset prices and real economic activity forecast errors to predict inflation forecast errors 2017 Apergēs, Nikolaos
Prediction‐based adaptive compositional model for seasonal time series analysis 2017 Chang, Kun
Prediction of α‐stable GARCH and ARMA‐GARCH‐M models 2017 Mohammadi, Mohammad
Forecasting the daily time‐varying beta of European banks during the crisis period : comparison between GARCH models and the Kalman filter 2017 Zhang, Yuanyuan
Robust estimation of conditional variance of time series using density power divergences 2017 Park, Jin‐Hong
Alle Artikel auflisten