The role of the information set for forecasting -- with applications to risk management
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Publication:2453693
DOI10.1214/13-AOAS709zbMath1454.62277arXiv1404.7653OpenAlexW3099037359MaRDI QIDQ2453693
Hajo Holzmann, Matthias Eulert
Publication date: 10 June 2014
Published in: The Annals of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1404.7653
Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Non-Markovian processes: hypothesis testing (62M07)
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Uses Software
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