Prediction accuracy of volatility using the score-driven Meixner distribution : an application to the Dow Jones
Szabolcs Blazsek and Adrian Licht
| Year of publication: |
2022
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| Authors: | Blazsek, Szabolcs ; Licht, Adrian |
| Published in: |
Applied economics letters. - New York, NY : Routledge, ISSN 1466-4291, ZDB-ID 1484783-8. - Vol. 29.2022, 2, p. 111-117
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| Subject: | dynamic conditional score | generalized autoregressive score | Meixner distribution | risk premium | Volatility forecasts | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Risikoprämie | Risk premium | Schätzung | Estimation | ARCH-Modell | ARCH model | Theorie | Theory | Aktienindex | Stock index | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/13504851.2020.1859445 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012803390