Density Forecasting with Time‐Varying Higher Moments: A Model Confidence Set Approach

DOI10.1002/FOR.1246zbMath1397.62576OpenAlexW2139899289MaRDI QIDQ4687301

Anders Wilhelmsson

Publication date: 11 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.1246

zbMATH Keywords

uncertaintyGARCHfinancial riskpoint forecastout-of-sample density forecasts

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (1)

Model complexity and out-of-sample performance: evidence from S\&P 500 index returns

This page was built for publication: Density Forecasting with Time‐Varying Higher Moments: A Model Confidence Set Approach