Dynamic mortality factor model with conditional heteroskedasticity-Reference-Cited by-同舟云学术

Dynamic mortality factor model with conditional heteroskedasticity

Published:2009-12 Issue:3 Volume:45 Page:410-423
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Gao Quansheng,Hu Chengjun

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference30 articles.

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2. Alessi, L., Barigozzi, M., Capasso, M., 2007. A robust criterion for determining the number of static factors in approximate factor models. LEM Working Papers 2007/19, Laboratory of Economics and Management, Sant’Anna School of Advanced Studies, Pisa

3. Determining the number of factors in approximate factor models;Bai;Econometrica,2002

4. The volatility of mortality;Bauer;The Asia-Pacific Journal of Risk and Insurance,2008

5. Forecasting ability of GARCH vs Kalman filter method: Evidence from daily UK time-varying beta;Choudhry;Journal of Forecasting,2008

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