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Predicting market risk with density combination: An introduction
Auteur(s)
Kolly, Jeremy
Date de parution
2016
In
Wilmott Magazine
No
81
De la page
52
A la page
57
Revu par les pairs
1
Résumé
Density forecast combination is a useful tool for risk managers to reduce model risk. We present up-to-date methodologies in the field, discuss key issues and provide some illustrations.
Autre version
http://onlinelibrary.wiley.com/doi/10.1002/wilm.10473/abstract
Type de publication
Resource Types::text::journal::journal article
