Exploració per autor "Martí Recober, Manuel"
Ara es mostren els items 17-19 de 19
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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'editorialThe 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 obertThe 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