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    • The two-component Beta-t-QVAR-M-lev: a new forecasting model 

      Haddad, MFC; Blazsek, S; Arestis, P; Fuerst, F; Sheng, HH (2023-12-01)
      We introduce a new joint model of expected return and volatility forecasting, namely the two-component Beta-t-QVAR-M-lev (quasi-vector autoregression in-mean with leverage). The maximum likelihood estimator for the ...