Time-changed GARCH versus the GARJI model for prediction of extreme news events : an empirical study
Lie-Jane Kao; Po-Cheng Wu; Cheng-Few Lee
| Year of publication: |
2012
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|---|---|
| Authors: | Kao, Lie-Jane ; Wu, Po-cheng ; Lee, Cheng F. |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 21.2012, 1, p. 115-129
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| Subject: | GARJI model | Ex post filter | VG NGARCH model | Variance-gamma model | Ex ante probability | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Theorie | Theory | Volatilität | Volatility | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Wahrscheinlichkeitsrechnung | Probability theory |
| 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/10009428082