Comparing volatility forecasting models during the global financial crisis

DOI10.1080/03610918.2016.1152363zbMath1462.62532OpenAlexW2319638523MaRDI QIDQ4593851

Ricardo F. Couto, Frank M. de Pinho

Publication date: 15 November 2017

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2016.1152363

zbMATH Keywords

volatility modelsheavy-tail distributionsnon-Gaussian state space modelsAPARCH modelsclassical and Bayesian inferences

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

This page was built for publication: Comparing volatility forecasting models during the global financial crisis