Density forecast evaluations via a simulation-based dynamic probability integral transformation
Jaeho Yun
| Year of publication: |
2020
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|---|---|
| Authors: | Yun, Jaeho |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 18.2020, 1, p. 24-58
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| Subject: | affine jump diffusion models | density forecasts | particle filters | simulation-based | dynamic probability integral transform | Statistische Verteilung | Statistical distribution | Prognoseverfahren | Forecasting model | Theorie | Theory | Simulation | Wahrscheinlichkeitsrechnung | Probability theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nby030 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012180381