Prioritizing of volatility models: a computational analysis using data envelopment analysis

DOI10.1111/itor.13028OpenAlexW3185598049MaRDI QIDQ6056289

Unnamed Author, Konstantinos Petridis, Fouad Ben Abdelaziz, Ali Emrouznejad

Publication date: 29 September 2023

Published in: International Transactions in Operational Research (Search for Journal in Brave)

Full work available at URL: https://publications.aston.ac.uk/id/eprint/42893/1/ITOR_AcceptedVesrion_Volatility_paper.pdf

zbMATH Keywords

rankingdata envelopment analysisforecastingfinancestatistical distributions\( \beta \)-regressionmathematics for computing

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cites Work

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• A slacks-based measure of efficiency in data envelopment analysis
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