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Comparing the Accuracy Forecasts from Competing GARCH models

Name: Comparing the Accuracy Forecasts from Competing GARCH models
Brand: LAP Lambert Academic Publishing
SKU: 9783838328515
Price: 1339 CZK
Availability: InStock

An Application to Asian Financial Markets

Autor: Ahmed Shamiri

Jazyk:

Vazba: Brožovaná

Vydavatel: LAP Lambert Academic Publishing

Dostupnost: Skladem u dodavatele

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This book unlocks the door to many major questions regarding forecasting financial markets. We propo...

Informace o knize

Autor

Ahmed Shamiri

Jazyk

Angličtina

Vazba

Kniha - Brožovaná

Vydáno

2010

Stránek

200

EAN

9783838328515

Enbook ID

07089289

Vydavatel

LAP Lambert Academic Publishing

Hmotnost

314

Rozměry

150 x 220 x 12

Kompletní popis

This book unlocks the door to many major questions regarding forecasting financial markets. We propose and analyze a distance measure using Kullback- Leibler Information Criterion (KLIC) as a unified statistical test of evaluating, comparing the predictive abilities of possibly misspecified density forecast models, and to assess which volatility and/or distribution are statistically more appropriate to mimic the time series behavior of a return series. The purpose is to determine which GARCH model (volatility) combined with conditional distribution, that allows for time varying variance in a process can adequately represent daily return volatility. The book will be a useful reference for researchers and practitioners in business, finance and insurance facing Value at Risk, volatility modeling, and analysis of serially correlated data. This book is also a useful text of financial time series for students with finance concentration in business, economics, mathematics and statistics who are interest in financial econometrics.

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Comparing the Accuracy Forecasts from Competing GARCH models

An Application to Asian Financial Markets

Informace o knize

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