Smooth test for density

Smooth test for density

Recently econometricians have shifted their attention from point and interval forecasts to density forecasts because at the heart of market risk measurement is the forecast of the probability density functions of various financial variables. In this paper, we propose a formal test for density foreca...

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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 2005
主題:	Score test probability integral transform model selection GARCH model simulation based method sample size selection Finance and Financial Management
在線閱讀:	https://ink.library.smu.edu.sg/lkcsb_research/5217 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6216/viewcontent/SSRN_id658861.pdf
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