Out-of-sample density forecasts with affine jump diffusion models
Jaeho Yun
| Year of publication: |
2014
|
|---|---|
| Authors: | Yun, Jaeho |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 47.2014, p. 74-87
|
| Subject: | Density forecasts | Time-series consistency | Affine jump diffusion | Time-varying jump risk premia | Particle filters | Beta transformation | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution | Risikoprämie | Risk premium | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income |
| Extent: | graph. Darst. |
|---|---|
| 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/10010506503