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Out-of-sample density forecasts with affine jump diffusion models

Title
Out-of-sample density forecasts with affine jump diffusion models
Authors
Yun J.
Ewha Authors
윤재호
SCOPUS Author ID
윤재호scopus
Issue Date
2014
Journal Title
Journal of Banking and Finance
ISSN
0378-4266JCR Link
Citation
vol. 47, no. 1, pp. 74 - 87
Publisher
Elsevier
Indexed
SSCI; SCOPUS WOS scopus
Abstract
Affine jump diffusion; Beta transformation; Density forecasts; Particle filters; Time-series consistency; Time-varying jump risk premia
DOI
10.1016/j.jbankfin.2014.06.024
Appears in Collections:
사회과학대학 > 경제학전공 > Journal papers
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