The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models (Q4687640)
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scientific article; zbMATH DE number 6952634
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| 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)
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12 October 2018
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Bayesian and frequentist estimation
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beta linear pool
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censored optimal pooling
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backtesting
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predictive densities
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VaR forecasts
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0.89065284
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0.8781736
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0.8607342
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0.8600325
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