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Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?
Auteur(s)
Date de parution
2012
In
Economics Letters
Vol.
3
No
116
De la page
322
A la page
325
Revu par les pairs
1
Résumé
Using GARCH models for density prediction of stock index returns, a comparison is provided between frequentist and Bayesian estimation. No significant difference is found between qualities of whole density forecasts, whereas the Bayesian approach exhibits significantly better left-tail forecast accuracy.
Identifiants
Type de publication
journal article
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