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- W4386392578 abstract "Abstract 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 two-component Beta- t -QVAR-M-lev is an extension of theoretical results of the one-component Beta- t -QVAR-M. We compare the volatility forecasting performance of the two-component Beta- t -QVAR-M-lev and two-component GARCH-M (generalized autoregressive conditional heteroscedasticity), also considering their one-component frameworks. The results for G20 stock market indices indicate that the forecasting performance of the two-component Beta- t -QVAR-M-lev is superior compared with the two-component GARCH-M and their one-component versions." @default.
- W4386392578 created "2023-09-03" @default.
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- W4386392578 date "2023-09-02" @default.
- W4386392578 modified "2023-10-16" @default.
- W4386392578 title "The two-component Beta-t-QVAR-M-lev: a new forecasting model" @default.
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- W4386392578 doi "https://doi.org/10.1007/s11408-023-00431-4" @default.
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