Zobrazeno 1 - 10
of 112
pro vyhledávání: '"Yasuhiro Omori"'
Autor:
Yasuhiro, Omori
Publikováno v:
国立民族学博物館調査報告 = Senri Ethnological Reports. 155:155-158
Publikováno v:
Stochastic Volatility and Realized Stochastic Volatility Models ISBN: 9789819909346
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::35ae38bfb5a6bccda3ab2d52e4e4500a
https://doi.org/10.1007/978-981-99-0935-3_1
https://doi.org/10.1007/978-981-99-0935-3_1
Publikováno v:
SpringerBriefs in Statistics ISBN: 9789819909346
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ec8611b5fea1b5294631f2d57cb76e66
https://doi.org/10.1007/978-981-99-0935-3
https://doi.org/10.1007/978-981-99-0935-3
Publikováno v:
Stochastic Volatility and Realized Stochastic Volatility Models ISBN: 9789819909346
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1c61e7dca2c5ce722d7cec268d0e0286
https://doi.org/10.1007/978-981-99-0935-3_5
https://doi.org/10.1007/978-981-99-0935-3_5
Publikováno v:
Stochastic Volatility and Realized Stochastic Volatility Models ISBN: 9789819909346
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9f85d947797ebde4b0f3b7766476f682
https://doi.org/10.1007/978-981-99-0935-3_4
https://doi.org/10.1007/978-981-99-0935-3_4
Publikováno v:
Stochastic Volatility and Realized Stochastic Volatility Models ISBN: 9789819909346
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3f17cdaec1ce23273328135547a3bb6d
https://doi.org/10.1007/978-981-99-0935-3_3
https://doi.org/10.1007/978-981-99-0935-3_3
Publikováno v:
Stochastic Volatility and Realized Stochastic Volatility Models ISBN: 9789819909346
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8f5f3dd3fae00a0da38b9fb19414886c
https://doi.org/10.1007/978-981-99-0935-3_2
https://doi.org/10.1007/978-981-99-0935-3_2
Autor:
Yasuhiro Omori, Yuta Kurose
Publikováno v:
Econometrics and Statistics. 13:46-68
The single equicorrelation structure among several daily asset returns is promising and attractive to reduce the number of parameters in multivariate stochastic volatility models. However, such an assumption may not be realistic as the number of asse
Publikováno v:
Econometrics and Statistics.
Publikováno v:
Econometrics and Statistics.
A comprehensive comparison of the volatility predictive abilities of different classes of time-varying volatility models is considered. The models include the exponential GARCH (EGARCH) and stochastic volatility (SV) models using daily returns, the h