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Книга Comparing the Accuracy Forecasts from Competing GARCH models Ahmed Shamiri

Comparing the Accuracy Forecasts from Competing GARCH models

An Application to Asian Financial Markets

Автор: Ahmed Shamiri
Език: Английски език
Корици: С меки корици
Издател: LAP Lambert Academic Publishing
Наличност: Външен склад
Изпращаме след 8-11 дни
62.32 € 121.89 лв
This book unlocks the door to many major questions regarding forecasting financial markets. We propo...

Информация за книгата

Автор
Ahmed Shamiri
Език
Английски език
Корици
Книга - С меки корици
Издадена
2010
страници
200
EAN
9783838328515
Enbook ID
07089289
Издател
LAP Lambert Academic Publishing
Теглоt
314
Размери
150 x 220 x 12

Пълно описание

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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