A Predictive Model Evaluation and Selection Approach - The Correlated Gamma Ratio Distribution
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- Gourieroux, C & Monfort, A & Renault, E, 1993.
"Indirect Inference,"
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- Xekalaki, Evdokia & Degiannakis, Stavros, 2005.
"Evaluating volatility forecasts in option pricing in the context of a simulated options market,"
Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 611-629, April.
- Xekalaki, Evdokia & Degiannakis, Stavros, 2005. "Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market," MPRA Paper 80468, University Library of Munich, Germany.
- Degiannakis, Stavros & Xekalaki, Evdokia, 2007. "Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models," MPRA Paper 96324, University Library of Munich, Germany.
- Vasilios Sogiakas, 2017. "Option trading for optimizing volatility forecasting," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 6(3), pages 1-3.
- Stavros Degiannakis & Evdokia Xekalaki, 2005.
"Predictability and model selection in the context of ARCH models,"
Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 21(1), pages 55-82, January.
- Degiannakis, Stavros & Xekalaki, Evdokia, 2005. "Predictability and Model Selection in the Context of ARCH Models," MPRA Paper 80486, University Library of Munich, Germany.
- Xekalaki, Evdokia & Panaretos, John, 2004. "A Binomial Distribution With Dependent Trials And Its Use in Stochastic Model Evaluation," MPRA Paper 6393, University Library of Munich, Germany.
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More about this item
Keywords
Model selection; Bivariate gamma distribution; F distribution; Correlated gamma-ratio distribution; Predictive ability;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
Statistics
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