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

Author(s)

Kolly, Jeremy

Trottier, Denis-Alexandre

Date issued

November 2017

In

Journal of Forecasting

Vol

7

No

36

From page

808

To page

823

Reviewed by peer

1

Subjects

GARCH models Bayesian and frequentist estimation predictive density combination beta linear pool censored optimal pooling backtesting

Publication type

journal article

Identifiers

DOI

File(s)

Name

Journal of Forecasting - 2017 - Ardia - The impact of parameter and model uncertainty on market risk predictions from.pdf

Type

Main Article

Size

1.18 MB

Format

Adobe PDF