## ABSTRACT This study compares the volatility and density prediction performance of alternative GARCH models with different conditional distribution specifications. The conditional residuals are specified as normal, skewedHyphen;__t__ or compound Poisson (jump) distribution based upon a nonlinear
The Performance of Risk Prediction Models
โ Scribed by Thomas A. Gerds; Tianxi Cai; Martin Schumacher
- Publisher
- John Wiley and Sons
- Year
- 2008
- Tongue
- English
- Weight
- 320 KB
- Volume
- 50
- Category
- Article
- ISSN
- 0323-3847
No coin nor oath required. For personal study only.
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