Penalized averaging of quantile forecasts from GARCH models with many exogenous predictors
Year of publication: |
2023
|
---|---|
Authors: | Gooijer, Jan G. de |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 62.2023, 1, p. 407-424
|
Subject: | Encompassing | Hybridization | Penalized quantile averaging | Quantile forecasting | Tick loss function | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory |
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