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  • Search: subject:"Multivariate density forecast evaluation"
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Year of publication
Subject
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Monte Carlo Simulations 1 Monte Carlo simulations 1 Multidimensional Value at Risk 1 Multidimensional value at risk 1 Multivariate Density Forecast Evaluation 1 Multivariate density forecast evaluation 1 Probability Integral Transformation 1 Probability integral transformation 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Language
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English 1 Undetermined 1
Author
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Polanski, Arnold 2 Stoja, Evarist 2
Institution
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School of Economics, Finance and Management, University of Bristol 1
Published in...
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Bristol Economics Discussion Papers 1 International Journal of Forecasting 1
Source
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RePEc 2
Showing 1 - 2 of 2
Cover Image
Efficient Evaluation of Multidimensional Time-Varying Density Forecasts with an Application to Risk Management
Stoja, Evarist; Polanski, Arnold - School of Economics, Finance and Management, University … - 2009
We propose two simple evaluation methods for time varying density forecasts of continuous higher dimensional random variables. Both methods are based on the probability integral transformation for unidimensional forecasts. The first method tests multinormal densities and relies on the rotation...
Persistent link: https://www.econbiz.de/10009642530
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Cover Image
Efficient evaluation of multidimensional time-varying density forecasts, with applications to risk management
Polanski, Arnold; Stoja, Evarist - In: International Journal of Forecasting 28 (2012) 2, pp. 343-352
We propose two simple evaluation methods for time-varying density forecasts of continuous higher-dimensional random variables. Both methods are based on the probability integral transformation for unidimensional forecasts. The first method tests multinormal densities and relies on the rotation...
Persistent link: https://www.econbiz.de/10010577340
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