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Sinopsis
In this study, both uni-regime GARCH and Markov Regime Switching GARCH (SW-GARCH) models are examined to analyze Turkish Stock Market volatility. Various models are investigated to find out whether SW-GARCH models are an improvement on the uni-regime GARCH models in terms of modelling and forecasting Turkish Stock Market volatility. As well as using seven statistical loss functions, Superior Predictive Ability (SPA) test of Hansen (2005) and Reality Check test (RC) of White (2000) are applied to compare forecast performance of models.
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Reseña del editor
In this study, both uni-regime GARCH and Markov Regime Switching GARCH (SW-GARCH) models are examined to analyze Turkish Stock Market volatility. Various models are investigated to find out whether SW-GARCH models are an improvement on the uni-regime GARCH models in terms of modelling and forecasting Turkish Stock Market volatility. As well as using seven statistical loss functions, Superior Predictive Ability (SPA) test of Hansen (2005) and Reality Check test (RC) of White (2000) are applied to compare forecast performance of models.
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Regime Switching Volatility Models
Publicado por
LAP LAMBERT Academic Publishing Mai 2010, 2010
ISBN 10: 3838362780
ISBN 13: 9783838362786
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Librería: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Alemania
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Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -In this study, both uni-regime GARCH and Markov Regime Switching GARCH (SW-GARCH) models are examined to analyze Turkish Stock Market volatility. Various models are investigated to find out whether SW-GARCH models are an improvement on the uni-regime GARCH models in terms of modelling and forecasting Turkish Stock Market volatility. As well as using seven statistical loss functions, Superior Predictive Ability (SPA) test of Hansen (2005) and Reality Check test (RC) of White (2000) are applied to compare forecast performance of models. 100 pp. Englisch. Nº de ref. del artículo: 9783838362786
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Regime Switching Volatility Models : Analysis of Turkish Stock Market
Publicado por
LAP LAMBERT Academic Publishing, 2010
ISBN 10: 3838362780
ISBN 13: 9783838362786
Nuevo
Taschenbuch
Librería: AHA-BUCH GmbH, Einbeck, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - In this study, both uni-regime GARCH and Markov Regime Switching GARCH (SW-GARCH) models are examined to analyze Turkish Stock Market volatility. Various models are investigated to find out whether SW-GARCH models are an improvement on the uni-regime GARCH models in terms of modelling and forecasting Turkish Stock Market volatility. As well as using seven statistical loss functions, Superior Predictive Ability (SPA) test of Hansen (2005) and Reality Check test (RC) of White (2000) are applied to compare forecast performance of models. Nº de ref. del artículo: 9783838362786
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Regime Switching Volatility Models
Publicado por
LAP LAMBERT Academic Publishing, 2010
ISBN 10: 3838362780
ISBN 13: 9783838362786
Nuevo
Tapa blanda
Librería: moluna, Greven, Alemania
Calificación del vendedor: 5 de 5 estrellas
Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: KARADAG Mehmet AliMehmet Ali KARADAG, B.S. Statistics, M.S. Financial Mathematics at Middle East Technical University. Expert at Turkish Statistical Institute, Ankara. Huseyin SENTURK, B.S. Statistics, M.S. Financial Mathematics at . Nº de ref. del artículo: 5416624
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Regime Switching Volatility Models
Publicado por
LAP LAMBERT Academic Publishing Mai 2010, 2010
ISBN 10: 3838362780
ISBN 13: 9783838362786
Nuevo
Taschenbuch
Librería: buchversandmimpf2000, Emtmannsberg, BAYE, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. This item is printed on demand - Print on Demand Titel. Neuware -In this study, both uni-regime GARCH and Markov Regime Switching GARCH (SW-GARCH) models are examined to analyze Turkish Stock Market volatility. Various models are investigated to find out whether SW-GARCH models are an improvement on the uni-regime GARCH models in terms of modelling and forecasting Turkish Stock Market volatility. As well as using seven statistical loss functions, Superior Predictive Ability (SPA) test of Hansen (2005) and Reality Check test (RC) of White (2000) are applied to compare forecast performance of models.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 100 pp. Englisch. Nº de ref. del artículo: 9783838362786
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Regime Switching Volatility Models | Analysis of Turkish Stock Market
Publicado por
LAP LAMBERT Academic Publishing, 2010
ISBN 10: 3838362780
ISBN 13: 9783838362786
Nuevo
Taschenbuch
Librería: preigu, Osnabrück, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. Regime Switching Volatility Models | Analysis of Turkish Stock Market | Mehmet Ali Karadag (u. a.) | Taschenbuch | 100 S. | Englisch | 2010 | LAP LAMBERT Academic Publishing | EAN 9783838362786 | Verantwortliche Person für die EU: BoD - Books on Demand, In de Tarpen 42, 22848 Norderstedt, info[at]bod[dot]de | Anbieter: preigu. Nº de ref. del artículo: 101110132
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Regime Switching Volatility Models: Analysis of Turkish Stock Market
Publicado por
LAP LAMBERT Academic Publishing, 2010
ISBN 10: 3838362780
ISBN 13: 9783838362786
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Librería: Mispah books, Redhill, SURRE, Reino Unido
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Paperback. Condición: Like New. LIKE NEW. SHIPS FROM MULTIPLE LOCATIONS. book. Nº de ref. del artículo: ERICA79038383627806
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