The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models
Year of publication: |
November 2017
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Authors: | Ardia, David ; Kolly, Jeremy ; Trottier, Denis‐Alexandre |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 36.2017, 7, p. 808-823
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Subject: | GARCH models | Bayesian and frequentist estimation | predictive density combination | beta linear pool | censored optimal pooling | backtesting | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Bayes-Statistik | Bayesian inference |
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