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In this study, both uni-regime GARCH and Markov Regime Switching GARCH (SW-GARCH) models are examined to analyze Turkish Stock Market volatility. Various models are investigated to find out whether SW-GARCH models are an improvement on the uni-regime GARCH models in terms of modelling and forecasting Turkish Stock Market volatility. As well as using seven statistical loss functions, Superior Predictive Ability (SPA) test of Hansen (2005) and Reality Check test (RC) of White (2000) are applied to compare forecast performance of models.
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Regime Switching Volatility Models
Editore:
LAP LAMBERT Academic Publishing Mai 2010, 2010
ISBN 10: 3838362780
ISBN 13: 9783838362786
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Da: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germania
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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -In this study, both uni-regime GARCH and Markov Regime Switching GARCH (SW-GARCH) models are examined to analyze Turkish Stock Market volatility. Various models are investigated to find out whether SW-GARCH models are an improvement on the uni-regime GARCH models in terms of modelling and forecasting Turkish Stock Market volatility. As well as using seven statistical loss functions, Superior Predictive Ability (SPA) test of Hansen (2005) and Reality Check test (RC) of White (2000) are applied to compare forecast performance of models. 100 pp. Englisch. Codice articolo 9783838362786
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Regime Switching Volatility Models : Analysis of Turkish Stock Market
Editore:
LAP LAMBERT Academic Publishing, 2010
ISBN 10: 3838362780
ISBN 13: 9783838362786
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Da: AHA-BUCH GmbH, Einbeck, Germania
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Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - In this study, both uni-regime GARCH and Markov Regime Switching GARCH (SW-GARCH) models are examined to analyze Turkish Stock Market volatility. Various models are investigated to find out whether SW-GARCH models are an improvement on the uni-regime GARCH models in terms of modelling and forecasting Turkish Stock Market volatility. As well as using seven statistical loss functions, Superior Predictive Ability (SPA) test of Hansen (2005) and Reality Check test (RC) of White (2000) are applied to compare forecast performance of models. Codice articolo 9783838362786
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Regime Switching Volatility Models
Editore:
LAP LAMBERT Academic Publishing, 2010
ISBN 10: 3838362780
ISBN 13: 9783838362786
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Da: moluna, Greven, Germania
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Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: KARADAG Mehmet AliMehmet Ali KARADAG, B.S. Statistics, M.S. Financial Mathematics at Middle East Technical University. Expert at Turkish Statistical Institute, Ankara. Huseyin SENTURK, B.S. Statistics, M.S. Financial Mathematics at . Codice articolo 5416624
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Regime Switching Volatility Models
Editore:
LAP LAMBERT Academic Publishing Mai 2010, 2010
ISBN 10: 3838362780
ISBN 13: 9783838362786
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Taschenbuch
Da: buchversandmimpf2000, Emtmannsberg, BAYE, Germania
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Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -In this study, both uni-regime GARCH and Markov Regime Switching GARCH (SW-GARCH) models are examined to analyze Turkish Stock Market volatility. Various models are investigated to find out whether SW-GARCH models are an improvement on the uni-regime GARCH models in terms of modelling and forecasting Turkish Stock Market volatility. As well as using seven statistical loss functions, Superior Predictive Ability (SPA) test of Hansen (2005) and Reality Check test (RC) of White (2000) are applied to compare forecast performance of models.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 100 pp. Englisch. Codice articolo 9783838362786
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Regime Switching Volatility Models | Analysis of Turkish Stock Market
Editore:
LAP LAMBERT Academic Publishing, 2010
ISBN 10: 3838362780
ISBN 13: 9783838362786
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Da: preigu, Osnabrück, Germania
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Taschenbuch. Condizione: Neu. Regime Switching Volatility Models | Analysis of Turkish Stock Market | Mehmet Ali Karadag (u. a.) | Taschenbuch | 100 S. | Englisch | 2010 | LAP LAMBERT Academic Publishing | EAN 9783838362786 | Verantwortliche Person für die EU: BoD - Books on Demand, In de Tarpen 42, 22848 Norderstedt, info[at]bod[dot]de | Anbieter: preigu. Codice articolo 101110132
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Regime Switching Volatility Models: Analysis of Turkish Stock Market
Editore:
LAP LAMBERT Academic Publishing, 2010
ISBN 10: 3838362780
ISBN 13: 9783838362786
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Paperback. Condizione: Like New. LIKE NEW. SHIPS FROM MULTIPLE LOCATIONS. book. Codice articolo ERICA79038383627806
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