Density forecast of financial returns using decomposition and maximum entropy (Q2694014)
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scientific article; zbMATH DE number 7668197
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Density forecast of financial returns using decomposition and maximum entropy |
scientific article; zbMATH DE number 7668197 |
Statements
Density forecast of financial returns using decomposition and maximum entropy (English)
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27 March 2023
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decomposition
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copula
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moment constraint
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maximum entropy
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density forecast
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logarithmic score
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quantile score
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VaR
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continuous ranked probability score
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0.7435426115989685
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0.734167218208313
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0.7289854288101196
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0.717946469783783
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