Comparing volatility forecasting models during the global financial crisis
type: Item
instance of: scholarly article
title: Comparing volatility forecasting models during the global financial crisis
zbMATH Open document ID: 1462.62532
DOI: 10.1080/03610918.2016.1152363
author: Frank M. de Pinho
author: Ricardo F. Couto
publication date: 2017-11-15T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6807330
zbMATH Keywords: APARCH models
zbMATH Keywords: classical and Bayesian inferences
zbMATH Keywords: heavy-tail distributions
zbMATH Keywords: non-Gaussian state space models
zbMATH Keywords: volatility models
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/03610918.2016.1152363
OpenAlex ID: W2319638523
published in: Communications in Statistics. Simulation and Computation
description: scientific article; zbMATH DE number 6807330