Model complexity and out-of-sample performance: evidence from S\&P 500 index returns

DOI10.1016/j.jedc.2018.01.040zbMath1401.91468MaRDI QIDQ1657302

Y. Aharonov

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://research.vu.nl/en/publications/0ac234bd-9fa1-48d9-aac2-199a0337f1b9

zbMATH Keywords

forecasting; jump-diffusion models; Lévy-jump models; non-affine variance models; out-of-sample specification tests

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B70: Stochastic models in economics

91G20: Derivative securities (option pricing, hedging, etc.)