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Recovering the most entropic copulas from preliminary knowledge of dependence
Chu, Ba; Satchell, Stephen - In: Econometrics : open access journal 4 (2016) 2, pp. 1-21
probability densities when the marginal probability densities are fixed. Our simulation study shows that the proposed MEC …
Persistent link: https://www.econbiz.de/10011505976
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Bayesian semiparametric modeling of realized covariance matrices
Jin, Xin; Maheu, John M. - In: Journal of econometrics 192 (2016) 1, pp. 19-39
Persistent link: https://www.econbiz.de/10011610652
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A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses
Krüger, Steffen; Oehme, Toni; Rösch, Daniel; Scheule, … - In: Journal of empirical finance 47 (2018), pp. 246-262
Persistent link: https://www.econbiz.de/10012103459
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Conditional Density Forecasting : A Tempered Importance Sampling Approach
Montes-Galdón, Carlos; Paredes, Joan; Wolf, Elias - 2022
proposed algorithm, which is based on tempered importance sampling, adapts the model-based density forecasts to target …
Persistent link: https://www.econbiz.de/10014237994
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Bayesian predictive distributions of oil returns using mixed data sampling volatility models
Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran - 2023
Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …
Persistent link: https://www.econbiz.de/10014252427
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Infinite Markov pooling of predictive distributions
Jin, Xin; Maheu, John M.; Yang, Qiao - In: Journal of econometrics 228 (2022) 2, pp. 302-321
Persistent link: https://www.econbiz.de/10013441752
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Conditional density forecasting : a tempered importance sampling approach
Montes-Galdón, Carlos; Paredes, Joan; Wolf, Elias - 2022
proposed algorithm, which is based on tempered importance sampling, adapts the model-based density forecasts to target …
Persistent link: https://www.econbiz.de/10013463266
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On the predictive ability of conditional market skewness
Serna, Gregorio - In: The quarterly review of economics and finance : journal … 91 (2023), pp. 186-191
Persistent link: https://www.econbiz.de/10014461560
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Constructing density forecasts from quantile regressions
Gaglianone, Wagner Piazza; Lima, Luiz Renato - In: Journal of money, credit and banking : JMCB 44 (2012) 8, pp. 1589-1607
Persistent link: https://www.econbiz.de/10009693602