Density Forecasting with Time‐Varying Higher Moments: A Model Confidence Set Approach (Q4687301)
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scientific article; zbMATH DE number 6951817
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| English | Density Forecasting with Time‐Varying Higher Moments: A Model Confidence Set Approach |
scientific article; zbMATH DE number 6951817 |
Statements
Density Forecasting with Time‐Varying Higher Moments: A Model Confidence Set Approach (English)
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11 October 2018
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GARCH
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uncertainty
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point forecast
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financial risk
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out-of-sample density forecasts
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0.87514585
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0.8731636
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0.8596574
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0.8594948
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0.8523424
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0.8515373
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