Ahmed Shamiri

Comparing the Accuracy Forecasts from Competing GARCH models

An Application to Asian Financial Markets

• Broschiertes Buch

Produktbeschreibung

This book unlocks the door to many major questions regarding forecasting financial markets. We propose and analyze a distance measure using Kullback- Leibler Information Criterion (KLIC) as a unified statistical test of evaluating, comparing the predictive abilities of possibly misspecified density forecast models, and to assess which volatility and/or distribution are statistically more appropriate to mimic the time series behavior of a return series. The purpose is to determine which GARCH model (volatility) combined with conditional distribution, that allows for time varying variance in a process can adequately represent daily return volatility. The book will be a useful reference for researchers and practitioners in business, finance and insurance facing Value at Risk, volatility modeling, and analysis of serially correlated data. This book is also a useful text of financial time series for students with finance concentration in business, economics, mathematics and statisticswho are interest in financial econometrics.

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Produktdetails

• Verlag: LAP Lambert Academic Publishing
• Seitenzahl: 200
• Erscheinungstermin: 14. September 2010
• Englisch
• Abmessung: 220mm x 150mm x 12mm
• Gewicht: 316g
• ISBN-13: 9783838328515
• ISBN-10: 3838328515
• Artikelnr.: 28288099

Autorenporträt

Dr.Shamiri has been a practicing professional in Statistics,Time Series and Financial Computation for more than 8 years. He has provided consultations on statistical analysis for professionals and individuals from various organizations and presented sold- out workshops on statistical software programming,practically on the S language softwares.