Exploració per autor "Marti, Manuel"
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Threshold volatility models: forecasting performance
Marquez, M. D.; Muñoz Gracia, María del Pilar; Marti, Manuel; Acosta Argueta, Lesly María (Springer Verlag, 2006)
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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 ...