Improving density forecast by modeling asymmetric features: an application to S{\&}P500 returns

DOI10.1016/j.ejor.2007.01.005zbMath1137.91596OpenAlexW2060914737MaRDI QIDQ2455633

Zhongsheng Hua, Bin Zhang

Publication date: 25 October 2007

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2007.01.005

zbMATH Keywords

asymmetrytime seriesForecastingdensity forecaststwo-piece normal distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84)

Related Items (3)

Market efficiency of Brazilian exchange rate: Evidence from variance ratio statistics and technical trading rules ⋮ Forecasting the volatility of crude oil futures using intraday data ⋮ Rough support vector regression

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