Haas, Markus (contributor); Mittnik, Stefan (contributor); … - 2008
–of–sample predictive densities,
which is important for risk management applications such as the computation of Value–at–
Risk. A finite … portfolio management, correlations
between assets are often of predominant interest. Quite recently, in order to cope with such … the more general specification are highly desirable. Moreover, to the best of our
knowledge, no results on the fourth …