The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models (Q4687640): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1002/for.2472 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2610239431 / rank | |||
Normal rank | |||
Latest revision as of 01:27, 20 March 2024
scientific article; zbMATH DE number 6952634
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models |
scientific article; zbMATH DE number 6952634 |
Statements
The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models (English)
0 references
12 October 2018
0 references
Bayesian and frequentist estimation
0 references
beta linear pool
0 references
censored optimal pooling
0 references
backtesting
0 references
predictive densities
0 references
VaR forecasts
0 references
