Comparing volatility forecasting models during the global financial crisis

Artigo de Periódico

Date

2016

Registration in:

10.1080/03610918.2016.1152363

03610918

http://hdl.handle.net/1843/44029

http://repositorioslatinoamericanos.uchile.cl/handle/2250/3798247

Author

Frank Magalhães de Pinho

Ricardo F. Couto

Institutions

Universidade Federal de Minas Gerais (Brasil)

Subjects

Models Classical

Bayesian Inference

Heavy Tailed Distributions

Non-Gaussian state space model

Volatility Models

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