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Viac informácií o knihe Comparing the Accuracy Forecasts from Competing GARCH models

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Anotácia knihy

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.

Parametre knihy

• Celý názov: Comparing the Accuracy Forecasts from Competing GARCH models
• Podnázov: An Application to Asian Financial Markets
• Autor: Ahmed Shamiri
• Jazyk: Angličtina
• Väzba: Brožovaná
• Počet strán: 200
• EAN: 9783838328515
• ID: 07089289
• Nakladateľ: LAP Lambert Academic Publishing
• Hmotnosť: 314 g
• Rozmery: 220 × 150 × 12 mm
• Rok vydania: 2010

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