Model complexity and out-of-sample performance: evidence from S\&P 500 index returns

DOI10.1016/J.JEDC.2018.01.040zbMath1401.91468OpenAlexW2787093071MaRDI QIDQ1657302

Y. Aharonov

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://research.vu.nl/en/publications/0ac234bd-9fa1-48d9-aac2-199a0337f1b9

zbMATH Keywords

forecastingjump-diffusion modelsLévy-jump modelsnon-affine variance modelsout-of-sample specification tests

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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