Multivariate Density Forecast Evaluation and Calibration In Financial Risk Management: High-Frequency Returns on Foreign Exchange
Author:
Publisher
MIT Press - Journals
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Link
http://www.mitpressjournals.org/doi/pdf/10.1162/003465399558526
Reference27 articles.
1. Intraday periodicity and volatility persistence in financial markets
2. Prediction in dynamic models with time-dependent conditional variances
3. Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
4. Calculating Interval Forecasts
Cited by 228 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. The Role of Comovement and Time-Varying Dynamics in Forecasting Commodity Prices;SSRN Electronic Journal;2024
2. Testing with Vectors of Statistics: Revisiting Combined Hypothesis Tests with an Application to Specification Testing;SSRN Electronic Journal;2024
3. A Truncated Mixture Transition Model for Interval-Valued Time Series;Journal of Financial Econometrics;2023-08-14
4. How to Gain Confidence in the Results of Internal Risk Models? Approaches and Techniques for Validation;Risks;2023-05-18
5. Temporal dependence and bank efficiency drivers in OECD: A stochastic DEA-ratio approach based on generalized auto-regressive moving averages;Expert Systems with Applications;2023-03
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3