Improved two-component tests in Beta-Skew-t-EGARCH models
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Cited by:
- Mohamed Chikhi & Claude Diebolt & Tapas Mishra, 2019. "Measuring Success: Does Predictive Ability of an Asset Price Rest in 'Memory'? Insights from a New Approach," Working Papers 11-19, Association Française de Cliométrie (AFC).
- Mohamed CHIKHI & Claude DIEBOLT & Tapas MISHRA, 2019. "Does Predictive Ability of an Asset Price Rest in 'Memory'? Insights from a New Approach," Working Papers of BETA 2019-43, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Mohamed CHIKHI & Claude DIEBOLT & Tapas MISHRA, 2019.
"Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model,"
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07-19, Association Française de Cliométrie (AFC).
- Mohamed Chikhi & Claude Diebolt & Tapas Mishra, 2019. "Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model," Working Papers of BETA 2019-24, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
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More about this item
Keywords
Beta-Skew-t-EGARCH; bootstrap-based test; bootstrap Bartlett correction; likelihood ratio test; two-component test; volatility.;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
Statistics
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