Libri di Raffaele Mattera - libri Statistica & Applicazioni

Raffaele Mattera

Author's books

Forecasting macroeconomic volatility with score-driven models newdigital
format: Article | STATISTICA & APPLICAZIONI - 2020 - 2
Year: 2020
Business cycle volatility has been extensively studied by means of the well-known ARCH and GARCH processes. Aim of this paper is to show that the score-driven models are instead more accurate in predicting business cycle volatility than the GARCH-type models...
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