المستودع الأكاديمي جامعة المدينة

Forecast Evaluation of Explanatory Models of Financial Return Variability

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dc.creator Sucarrat, Genaro
dc.date 2008
dc.date.accessioned 2013-10-16T06:57:46Z
dc.date.available 2013-10-16T06:57:46Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/17990
dc.identifier ppn:565667246
dc.identifier RePEc:zbw:ifwedp:7263
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/17990
dc.description A practice that has become widespread is that of comparing forecasts of financial return variability obtained from discrete time models against high frequency estimates based on continuous time theory. In explanatory financial return variability modelling this raises several methodological and practical issues, which suggests an alternative framework is needed. The contribution of this study is twofold. First, the finite sample properties of operational and practical procedures for the forecast evaluation of explanatory discrete time models of financial return variability are studied. Second, with basis in the simulation results a simple framework is proposed and illustrated.
dc.language eng
dc.publisher Kiel Institute for the World Economy (IfW) Kiel
dc.relation Economics Discussion Papers / Institut für Weltwirtschaft 2008-18
dc.rights http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
dc.subject C53
dc.subject C52
dc.subject F37
dc.subject F31
dc.subject ddc:330
dc.subject Return variability forecasting
dc.subject financial volatility
dc.subject explanatory modelling
dc.subject Kapitalertrag
dc.subject Wechselkurs
dc.subject Volatilität
dc.subject Prognoseverfahren
dc.subject Zeitreihenanalyse
dc.subject Vergleich
dc.subject Simulation
dc.subject Theorie
dc.title Forecast Evaluation of Explanatory Models of Financial Return Variability
dc.type doc-type:workingPaper


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