The two-component Beta-t-QVAR-M-lev : a new forecasting model
Year of publication: |
2023
|
---|---|
Authors: | Haddad, Michel Ferreira Cardia ; Blazsek, Szabolcs ; Arestis, Philip ; Fuerst, Franz ; Sheng, Hsia Hua |
Published in: |
Financial markets and portfolio management. - Norwell, Mass. : Springer, ISSN 2373-8529, ZDB-ID 2097963-0. - Vol. 37.2023, 4, p. 379-401
|
Subject: | Dynamic conditional score (DCS) | Dynamic volatility models | Generalized autoregressive score (GAS) | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Theorie | Theory | Zeitreihenanalyse | Time series analysis |
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