The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models (Q4687640)
From MaRDI portal
scientific article; zbMATH DE number 6952634
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models |
scientific article; zbMATH DE number 6952634 |
Statements
The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models (English)
0 references
12 October 2018
0 references
Bayesian and frequentist estimation
0 references
beta linear pool
0 references
censored optimal pooling
0 references
backtesting
0 references
predictive densities
0 references
VaR forecasts
0 references
