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

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DC Field	Value	Language
dc.contributor.author	윤재호	*
dc.date.accessioned	2016-08-28T11:08:58Z	-
dc.date.available	2016-08-28T11:08:58Z	-
dc.date.issued	2014	*
dc.identifier.issn	0378-4266	*
dc.identifier.other	OAK-12003	*
dc.identifier.uri	https://dspace.ewha.ac.kr/handle/2015.oak/228277	-
dc.description.abstract	Affine jump diffusion; Beta transformation; Density forecasts; Particle filters; Time-series consistency; Time-varying jump risk premia	*
dc.language	English	*
dc.publisher	Elsevier	*
dc.title	Out-of-sample density forecasts with affine jump diffusion models	*
dc.type	Article	*
dc.relation.issue	1	*
dc.relation.volume	47	*
dc.relation.index	SSCI	*
dc.relation.index	SCOPUS	*
dc.relation.startpage	74	*
dc.relation.lastpage	87	*
dc.relation.journaltitle	Journal of Banking and Finance	*
dc.identifier.doi	10.1016/j.jbankfin.2014.06.024	*
dc.identifier.wosid	WOS:000343345400007	*
dc.identifier.scopusid	2-s2.0-84904980224	*
dc.author.google	Yun J.	*
dc.contributor.scopusid	윤재호(55545901200)	*
dc.date.modifydate	20231123105943	*