In forecasting a ยฎnancial time series, the mean prediction can be validated by direct comparison with the value of the series. However, the volatility or variance can only be validated by indirect means such as the likelihood function. Systematic errors in volatility prediction have an `economic val
โฆ LIBER โฆ
A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS
โ Scribed by Massimiliano Caporin; Michael McAleer
- Book ID
- 110940578
- Publisher
- John Wiley and Sons
- Year
- 2010
- Tongue
- English
- Weight
- 97 KB
- Volume
- 24
- Category
- Article
- ISSN
- 0950-0804
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