Smooth Test of Density Forecast Evaluation with Independent and Serially Dependent Data

Smooth Test of Density Forecast Evaluation with Independent and Serially Dependent Data

Recently financial econometricians have shifted their attention from point and interval forecasts to density forecasts mainly to address the issue of the huge loss of information that results from depicting portfolio risk by a measure of dispersion alone. One of the major problems in this area has b...

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書目詳細資料
主要作者:	GHOSH, Aurobindo
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2004
主題:	Score Test; Density Forecast Evaluation; Probability Integral Transform; Goodness-of-Fit test; Serially Dependent Data; Simulation methods Econometrics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/1390
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!

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