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~institution:"Centre for Microdata Methods and Practice (CEMMAP)"
~institution:"Department of Economics and Finance, College of Business and Economics"
~institution:"Department of Economics, University of Victoria"
~person:"Caporin, Massimiliano"
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Value-at-Risk forecasts
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Volatility model selection
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asymmetry
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leverage
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Caporin, Massimiliano
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Qin, Xiaochuan
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Centre for Microdata Methods and Practice (CEMMAP)
Department of Economics and Finance, College of Business and Economics
Department of Economics, University of Victoria
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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Institute of Economic Research, Kyoto University
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Model
Selection
and Testing of Conditional and Stochastic Volatility Models
Caporin, Massimiliano
;
McAleer, Michael
-
Department of Economics and Finance, College of …
-
2010
criteria, and conditions for the existence of moments and asymptotic theory, as well as the out-of-sample
model
selection
…
Persistent link: https://www.econbiz.de/10008642500
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