Density forecast evaluations via a simulation-based dynamic probability integral transformation
Year of publication: |
2020
|
---|---|
Authors: | Yun, Jaeho |
Subject: | affine jump diffusion models | density forecasts | particle filters | simulation-based | dynamic probability integral transform | Prognoseverfahren | Forecasting model | Statistische Verteilung | Statistical distribution | Theorie | Theory | Simulation | Wahrscheinlichkeitsrechnung | Probability theory | Monte-Carlo-Simulation | Monte Carlo simulation |
-
Nonlife ratemaking and risk management with Bayesian additive models for location, scale and shape
Klein, Nadja, (2013)
-
Klein, Nadja, (2014)
-
Optimal density forecast combinations
Ganics, Gergely Akos, (2017)
- More ...
-
Essays On The Specification Testing For Dynamic Asset Pricing Models
Yun, Jaeho, (2009)
-
A Simulation Test for Continuous-Time Models
Yun, Jaeho, (2013)
-
Out-of-sample density forecasts with affine jump diffusion models
Yun, Jaeho, (2014)
- More ...