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~institution:"Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam"
~subject:"volatility model selection"
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volatility model selection
model confidence set
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MGARCH
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covariance forecasting
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confidence intervals
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consumer confidence
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model comparison
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model ranking
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Consumer confidence
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asymmetry
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competence effect
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consumption
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Caporin, Massimiliano
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McAleer, Michael
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
Erasmus University Rotterdam, Econometric Institute
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Model Selection and Testing of Conditional and Stochastic Volatility Models
Caporin, Massimiliano
;
McAleer, Michael
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2010
approaches, such as mean squared error and Model
Confidence
Set approaches. The paper develops some innovative loss functions …
Persistent link: https://www.econbiz.de/10010731696
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