Density forecast evaluation for dependent financial data: Theory and applications

Density forecast evaluation for dependent financial data: Theory and applications

In this paper, we propose a formal test for density forecast evaluation in presence of dependent data. Apart from accepting or rejecting the tested model, our smooth test identifies the possible sources (such as the location, scale and shape of the distribution) of rejection, thereby helping in revi...

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書目詳細資料
Main Authors:	GHOSH, Aurobindo, BERA, Anil K.
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2015
主題:	Score test Probability integral transform Model selection GARCH model Simulation based method Sample size selection Business Corporate Finance Finance and Financial Management
在線閱讀:	https://ink.library.smu.edu.sg/lkcsb_research/5087 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6086/viewcontent/densityforecastdep2016.pdf
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機構:	Singapore Management University
語言:	English

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