Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison

DOI10.1016/S0731-9053(05)20021-XzbMath1190.91147MaRDI QIDQ3571977

Tae-Hwy Lee, Yong Bao

Publication date: 30 June 2010

Published in: Advances in Econometrics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (1)

Fourier–type tests involving martingale difference processes

Uses Software

• KLIC

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