The impact of parameter and model uncertainty on market risk predictions from GARCH-type models-Reference-Cited by-同舟云学术

The impact of parameter and model uncertainty on market risk predictions from GARCH-type models

Published:2017-05-04 Issue:7 Volume:36 Page:808-823
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:J Forecast

Author:

Ardia David¹²^ORCID,Kolly Jeremy²³,Trottier Denis-Alexandre²

Affiliation:

1. Institute of Financial Analysis; University of Neuchâtel; Neuchâtel Switzerland

2. Finance, Insurance and Real Estate Department; Laval University; Québec Canada

3. Department of Management; University of Fribourg; Fribourg Switzerland

Funder

Schweizerischer Nationalfonds zur Förderung der Wissenschaftlichen Forschung

FQRSC

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modelling and Simulation

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/for.2472/fullpdf

Reference55 articles.

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4. Bassetti , F. Casarin , R. Ravazzolo , F. 2015 Bayesian nonparametric calibration and combination of predictive distributions

5. Evaluating Value-at-Risk models with desk-level data;Berkowitz;Management Science,2011

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