Evaluating density forecasts from models of stock market returns
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kuang-Liang Chang, 2011. "The optimal value-at-risk hedging strategy under bivariate regime switching ARCH framework," Applied Economics, Taylor & Francis Journals, vol. 43(21), pages 2627-2640.
- Xiao-Ming Li & Qing Xu, 2007. "Evaluating density forecasts of the model with a conditional skewed-t distribution for China's stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 18(3), pages 213-227.
More about this item
KeywordsDensity forecasting; forecast evaluation; risk management; GARCH models;
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