The impact of parameter and model uncertainty on market risk predictions from GARCH-type models
David Ardia, Jeremy Kolly & Denis-Alexandre Trottier
| Abstract |
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| Keywords |
GARCH models; Bayesian and frequentist estimation; predictive density combination; beta linear pool; censored optimal pooling; backtesting |
| Citation | Ardia, D., Kolly, J., & Trottier, D. A. (2017). The impact of parameter and model uncertainty on market risk predictions from GARCH-type models. Journal of Forecasting, 36(7), 808-823. |
| Type | Journal article (English) |
| Date of appearance | 11-2017 |
| Journal | Journal of Forecasting |
| Volume | 36 |
| Issue | 7 |
| Pages | 808-823 |
| URL | http://onlinelibrary.wiley.com/doi/10.1002/for.2472/full |