The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models
David Ardia, Jeremy Kolly, Denis‐Alexandre Trottier
| 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 | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Bayes-Statistik | Bayesian inference | Risiko | Risk | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2472 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011860735