Can skewed GARCH-Type distributions improve volatility forecasts during global financial crisis?
Jack J. W. Yang, Chien-Tsung Li
| Year of publication: |
2017
|
|---|---|
| Authors: | Yang, Jack J. W. ; Li, Chien-Tsung |
| Published in: |
The international journal of business and finance research : IJBFR. - Hilo, Hawaii : IBFR, ISSN 1931-0269, ZDB-ID 2536566-6. - Vol. 11.2017, 2, p. 39-50
|
| Subject: | Volatility Forecast | Mode Confidence Set (MCS) | Global Financial Crisis | Giacominiand White Test (GW Test) | Volatilität | Volatility | Finanzkrise | Financial crisis | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Welt | World | Statistischer Test | Statistical test | Börsenkurs | Share price | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011790401