Ara es mostren els items 17-19 de 19

    • Tar-garch and stochastic volatility model: evaluation based on simulations and financial time series 

      Muñoz Gracia, María del Pilar; Márquez, D.; Martí Recober, Manuel; Villazón, C.; Acosta Argueta, Lesly María (Physica-Verlag, 2004)
      Text en actes de congrés
      Accés restringit per política de l'editorial
      The paper analyzes the empirical performance between the Stochastic Volatility (SV) and TAR-GARCH models. SV models are flexible enough to explain excess kurtosis, although the inclusion of TAR in the GARCH model improves ...
    • Threshold volatily models: forecasting performance 

      Márquez, M. Dolores; Muñoz Gracia, María del Pilar; Martí Recober, Manuel; Acosta Argueta, Lesly María (Physica-Verlag, 2006)
      Article
      Accés obert
      The aim of this paper is to compare the forecasting performance of competing volatility models, in order to capture the asymmetric effect in the volatility. We focus on examining the relative out-of-sample forecasting ...
    • Time series estimation through optimal filtering: non-gaussian series 

      Font, X; Muñoz Gracia, María del Pilar; Martí Recober, Manuel (2001-08)
      Text en actes de congrés
      Accés restringit per política de l'editorial