Forecasting Market Crashes: Does Density Specification Matter?
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References listed on IDEAS
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
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More about this item
KeywordsConfidence intervals; Edgeworth-Sargan; Student’s t;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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