Density forecasting of the Dow Jones share index
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More about this item
Keywords
Density forecasting; heteroscedasticity; mixed Normal- Asymmetric Laplace distribution; Method of Moments estimation; connection with economic growth.;All these keywords.
JEL classification:
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2009-11-14 (Econometrics)
- NEP-FMK-2009-11-14 (Financial Markets)
- NEP-FOR-2009-11-14 (Forecasting)
- NEP-ORE-2009-11-14 (Operations Research)
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