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Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
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Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
Persistent link: https://www.econbiz.de/10001657476
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multivariate returns' distribution, thereby providing a tool to investigate the impact of shocks on the characteristics of the … subsequent distribution. For this purpose, we present a new methodology to describe the joint distribution of returns in a non …-normal setting. This methodology allows to gain a better understanding of the temporal evolution of the returns' distribution and can …
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