Non-linear versus non-gaussian volatility models in application to different financial markets

We used neural-network based modelling to generalize the linear econometric return models and compare their out-of-sample predictive ability in terms of different performance measures under three density specifications.(...)

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Year of publication:	2003-11-01
Authors:	Miazhynskaia, Tatiana ; Dorffner, Georg ; Dockner, Engelbert J.
Publisher:	Wirtschaftsuniversität <Wien>
Subject:	Volatilität \| Prognosequalität \| forecasting \| GARCH-Prozess \| Zeitreihenanalyse \| time series analysis

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Extent:	220160 bytes 22 p. application/pdf
Series:	Universitätsbibliothek Wien - Institut für Informationsverarbeitung - Publikationen Report Series ; 2003, 84
Type of publication:	Book / Working Paper
Language:	English
Classification:	Financial theory ; Statistical Methods ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005844728