Showing 1 - 10 of 711,366
Persistent link: https://www.econbiz.de/10001781211
Persistent link: https://www.econbiz.de/10003872850
Persistent link: https://www.econbiz.de/10003872982
Persistent link: https://www.econbiz.de/10012792845
Persistent link: https://www.econbiz.de/10012484308
Persistent link: https://www.econbiz.de/10012156567
Persistent link: https://www.econbiz.de/10013465704
Persistent link: https://www.econbiz.de/10014536734
Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
Persistent link: https://www.econbiz.de/10011431370
Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments … implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors …, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility …
Persistent link: https://www.econbiz.de/10009767118