Density forecast of financial returns using decomposition and maximum entropy

Tae-Hwy Lee, He Wang, Zhou Xi and Ru Zhang

Year of publication:	2023
Authors:	Lee, Tae-hwy ; Wang, He ; Xi, Zhou ; Zhang, Ru
Subject:	continuous ranked probability score \| copula \| decomposition \| density forecast \| logarithmic score \| maximum entropy \| moment constraint \| quantile score \| VaR \| Entropie \| Entropy \| Statistische Verteilung \| Statistical distribution \| Prognoseverfahren \| Forecasting model \| Theorie \| Theory \| Risikomaß \| Risk measure \| Dekompositionsverfahren \| Decomposition method \| Schätzung \| Estimation \| Multivariate Verteilung \| Multivariate distribution \| Börsenkurs \| Share price

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1515/jem-2020-0014 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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