Forecasting rate of return after extreme values when using AR-t-GARCH and QAR-Beta-t-EGARCH
Szabolcs Blazsek, Daniela Carrizo, Ricardo Eskildsen, Humberto Gonzalez
| Year of publication: |
March 2018
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|---|---|
| Authors: | Blazsek, Szabolcs ; Carrizo, Daniela ; Eskildsen, Ricardo ; Gonzalez, Humberto |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 24.2018, p. 193-198
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| Subject: | Beta--EGARCH | Dow Jones Industrial Average (DJIA) | Extreme values | Aktienindex | Stock index | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Ausreißer | Outliers | ARCH-Modell | ARCH model | Betafaktor | Beta risk | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2017.09.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011982571