Static and dynamic models for multivariate distribution forecasts : proper scoring rule tests of factor-quantile versus multivariate GARCH models
Carol Alexander, Yang Han, Xiaochun Meng
| Year of publication: |
2023
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|---|---|
| Authors: | Alexander, Carol ; Han, Yang ; Meng, Xiaochun |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 39.2023, 3, p. 1078-1096
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| Subject: | Bagging | Continuous ranked probability score | Energy score | Factor quantile regression | Forecast | Historical simulation | Multivariate density | Variogram score | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Wahrscheinlichkeitsrechnung | Probability theory | Simulation | Multivariate Analyse | Multivariate analysis | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2022.04.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014465245