Evaluating the performance of GARCH models using White´s Reality Check
| Year of publication: |
2002-04
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|---|---|
| Authors: | Souza, Leonardo ; Veiga, Alvaro ; Medeiros, Marcelo C. |
| Institutions: | Departamento de Economia, Pontifícia Universidade Católica do Rio de Janeiro |
| Subject: | time seris | GARCH models | bootstrap | reality check | volatility | financial econometrics | Monte Carlo | forecasting | riskmetrics | moving average |
| Extent: | application/pdf |
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| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | Published in Brazilian Review of Econometrics, v. 25, n.1, 2005 Number 453 24 pages |
| Classification: | C45 - Neural Networks and Related Topics ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G12 - Asset Pricing |
| Source: |
Persistent link: https://www.econbiz.de/10005222461