Jump to main content

yr 〜
yr

Search results 4

Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation

Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation
Digital文書・図像類
Caporin, Massimiliano, McAleer, MichaelInstitute of Economic Research, Kyoto University2011-06KIER Discussion Paper778
Available onlineOther Libraries in Japan
  • Summary, etc....t and indirect model comparison, including the Weighted Likel...
  • Subject HeadingCovariance forecasting model confidence set model ranking MGARCH model comparison

Robust Ranking of Multivariate GARCH Models by Problem Dimension

Robust Ranking of Multivariate GARCH Models by Problem Dimension
Digital文書・図像類
McAleer, Michael, Caporin, MassimilianoInstitute of Economic Research, Kyoto University2012-04KIER Discussion Paper815
Available onlineOther Libraries in Japan
  • Summary, etc....t and indirect model comparison, including the Model Confiden...
  • Subject HeadingCovariance forecasting model confidence set robust model ranking MGARCH robust model comparison

Ranking Multivariate GARCH Models by Problem Dimension

Ranking Multivariate GARCH Models by Problem Dimension
Paper文書・図像類
Caporin, Massimiliano, McAleer, Michael日本経済国際共同センター2010-05Discussion paper series. CIRJE-FCIRJE-F-742
Other Libraries in Japan
  • Subject Heading...ranking MGARCH model comparison JEL codes: C32, C53, C52.

Model Selection and Testing of Conditional and Stochastic Volatility Models

Model Selection and Testing of Conditional and Stochastic Volatility Models
Digital文書・図像類
McAleer, MichaelInstitute of Economic Research, Kyoto University2010-09KIER Discussion Paper724
Available onlineOther Libraries in Japan
  • Subject Heading...ion volatility model comparison non-nested models model confi...

Reached to the end of result.

RSS