Likelihood-based scoring rules for comparing density forecasts in tails
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Publication:737965
DOI10.1016/j.jeconom.2011.04.001zbMath1441.62669OpenAlexW2166572063MaRDI QIDQ737965
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.04.001
risk managementconditional likelihoodcensored likelihoodscoring rulesdensity forecast evaluationweighted likelihood ratio scores
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Uses Software
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