goGARCHforecast-class: class: GO-GARCH Forecast Class
Description
Class for the GO-GARCH forecast.Objects from the Class
The class is returned by calling the function gogarchforecast.Extends
Class "mGARCHforecast", directly.
Class "GARCHforecast", by class "mGARCHforecast", distance 2.
Class "rGARCH", by class "mGARCHforecast", distance 3.References
Chen, Y., Hardle, W., and Spokoiny, V. 2010, GHICA-Risk analysis with GH
distributions and independent components, Journal of Empirical Finance,
17(2), 255--269.
de Athayde, G.M. and Flores Jr, R.G. 2002, On Certain Geometric Aspects of
Portfolio Optimisation with Higher Moments, mimeo.
Ghalanos, A., Rossi, E., and Urga, G. (2013). Independent Factor
Autoregressive Conditional Density Model, forthcoming.
Paolella, M.S. 2007, Intermediate Probability - A Computational Approach,
Wiley-Interscience.