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

David Ardia, Jeremy Kolly & Denis-Alexandre Trottier

Abstract
   
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