淡江大學機構典藏:Item 987654321/92654
English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 56102/90157 (62%)
造访人次 : 11552205      在线人数 : 77
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜寻范围 查询小技巧:
  • 您可在西文检索词汇前后加上"双引号",以获取较精准的检索结果
  • 若欲以作者姓名搜寻,建议至进阶搜寻限定作者字段,可获得较完整数据
  • 进阶搜寻


    jsp.display-item.identifier=請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/92654


    题名: Evaluating and improving GARCH-based volatility forecasts with range-based estimators
    作者: Hung, Jui-Cheng;Lou, Tien-Wei;Wang, Yi-Hsien;Lee, Jun-De
    贡献者: 淡江大學財務金融學系
    关键词: range-based estimators;GARCH-based volatility forecasts;SPA test
    日期: 2013
    上传时间: 2013-10-21 16:23:57 (UTC+8)
    出版者: Abingdon: Routledge
    摘要: This article investigates the feasibility of using range-based estimators to evaluate and improve Generalized Autoregressive Conditional Heteroscedasticity (GARCH)-based volatility forecasts due to their computational simplicity and readily availability. The empirical results show that daily range-based estimators are sound alternatives for true volatility proxies when using Superior Predictive Ability (SPA) test of Hansen (2005) to assess GARCH-based volatility forecasts. In addition, the inclusion of the range-based estimator of Garman and Klass (1980) can significantly improve the forecasting performance of GARCH-t model.
    關聯: Applied Economics 45(28), pp.4041-4049
    DOI: 10.1080/00036846.2012.748179
    显示于类别:[財務金融學系暨研究所] 期刊論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    Evaluating and improving GARCH-based volatility forecasts with range-based estimators.pdf225KbAdobe PDF0检视/开启
    index.html0KbHTML162检视/开启
    index.html0KbHTML21检视/开启

    在機構典藏中所有的数据项都受到原著作权保护.

    TAIR相关文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回馈