DSpace at EWHA: Out-of-sample density forecasts with affine jump diffusion models

Browse

My Repository

DSpace at EWHA사회과학대학 경제학전공 Journal papers

View : 784 Download: 0

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: 윤재호

Issue Date: 2014

Journal Title: Journal of Banking and Finance

ISSN: 0378-4266

Citation: Journal of Banking and Finance vol. 47, no. 1, pp. 74 - 87

Publisher: Elsevier

Indexed: SSCI; SCOPUS

Document Type: Article

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

Files in This Item:

Export: RIS (EndNote); XLS (Excel); XML

Show full item record

Find@EWHA

qrcode

: search

BROWSE