Evaluating density forecasts using weighted multivariate scores in a risk management context
Jie Cheng
| Year of publication: |
2024
|
|---|---|
| Authors: | Cheng, Jie |
| Subject: | Asymmetric dependence structure | Copula | Density forecast evaluation | Multivariate forecasting | Multivariate scoring rule | Weighted score | Prognoseverfahren | Forecasting model | Theorie | Theory | Multivariate Analyse | Multivariate analysis | Statistische Verteilung | Statistical distribution | Multivariate Verteilung | Multivariate distribution | Risikomanagement | Risk management | Statistische Methodenlehre | Statistical theory |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-024-10571-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015144255