Relative forecasting performance of volatility models: Monte Carlo evidence (Q5397468)
From MaRDI portal
scientific article; zbMATH DE number 6260413
Language | Label | Description | Also known as |
---|---|---|---|
English | Relative forecasting performance of volatility models: Monte Carlo evidence |
scientific article; zbMATH DE number 6260413 |
Statements
Relative forecasting performance of volatility models: Monte Carlo evidence (English)
0 references
20 February 2014
0 references
Monte Carlo methods
0 references
multifractal model of asset returns
0 references
volatility modelling
0 references
value at risk
0 references
0 references
0 references
0 references
0 references
0 references