The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models

DOI10.1002/FOR.2472zbMath1397.62294OpenAlexW2610239431MaRDI QIDQ4687640

Jeremy Kolly, Denis-Alexandre Trottier, David Ardia

Publication date: 12 October 2018

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

Full work available at URL: https://doi.org/10.1002/for.2472

zbMATH Keywords

backtestingpredictive densitiesVaR forecastsBayesian and frequentist estimationbeta linear poolcensored optimal pooling

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Credit risk (91G40)

Related Items (2)

The path of financial risk spillover in the stock market based on the R-vine-copula model ⋮ LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK

This page was built for publication: The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models