Density forecast of financial returns using decomposition and maximum entropy
Year of publication: |
2023
|
---|---|
Authors: | Lee, Tae-hwy ; Wang, He ; Xi, Zhou ; Zhang, Ru |
Published in: |
Journal of econometric methods. - Berlin : de Gruyter, ISSN 2156-6674, ZDB-ID 2684112-5. - Vol. 12.2023, 1, p. 57-83
|
Subject: | continuous ranked probability score | copula | decomposition | density forecast | logarithmic score | maximum entropy | moment constraint | quantile score | VaR | Entropie | Entropy | Theorie | Theory | Prognoseverfahren | Forecasting model | Statistische Verteilung | Statistical distribution | Dekompositionsverfahren | Decomposition method | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Ranking-Verfahren | Ranking method |
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