Static and dynamic models for multivariate distribution forecasts : proper scoring rule tests of factor-quantile versus multivariate GARCH models
Year of publication: |
2023
|
---|---|
Authors: | Alexander, Carol ; Han, Yang ; Meng, Xiaochun |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 39.2023, 3, p. 1078-1096
|
Subject: | Bagging | Continuous ranked probability score | Energy score | Factor quantile regression | Forecast | Historical simulation | Multivariate density | Variogram score | Theorie | Theory | Prognoseverfahren | Forecasting model | Innovationsdiffusion | Innovation diffusion | Multivariate Analyse | Multivariate analysis | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Wahrscheinlichkeitsrechnung | Probability theory | Simulation |
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