Comparing the Accuracy Forecasts from Competing GARCH models

Comparing the Accuracy Forecasts from Competing GARCH models

An Application to Asian Financial Markets

LAP Lambert Academic Publishing ( 14.09.2010 )

€ 68,00

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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.

Kitap detayları:

ISBN-13:

978-3-8383-2851-5

ISBN-10:

3838328515

EAN:

9783838328515

Kitabın dili:

English

Yazar:

Ahmed Shamiri

Sayfa sayısı:

200

Yayın tarihi:

14.09.2010

Kategori:

İktisat