SStudyAcademic Library

Dashboard Shelves Open access My library Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Comparing and evaluating Bayesian predictive distributions of asset returns · Study

ArticleShelves

ArticleComparing and evaluating Bayesian predictive distributions of asset returns

John F Geweke2010

OA

Articlegreen2010

Comparing and evaluating Bayesian predictive distributions of asset returns

John F Geweke · Gianni Amisano

376 citations·0/0 files stored·International Journal of Forecasting

No readable copy stored yet — this record is metadata only.

Financial Risk and Volatility Modeling Forecasting Techniques and Applications Statistical Methods and Bayesian Inference

Abstract

No abstract was published for this record.

Citations in this library

Stored only when both papers are in the corpus — 376 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 2007Strictly Proper Scoring Rules, Prediction, and Estimation 1998Evaluating Interval Forecasts 1998Evaluating Density Forecasts with Applications to Financial Risk Management 2002Bayesian Analysis of Stochastic Volatility Models 2001Testing Density Forecasts, With Applications to Risk Management 1994Bayesian Analysis of Stochastic Volatility Models 2007Comparing Density Forecasts via Weighted Likelihood Ratio Tests

Cited by

2011Macroeconomic forecasting and structural change 2014Macroeconomic Forecasting Performance under Alternative Specifications of Time-Varying Volatility 2022Forecast combinations: An over 50-year review 2013Bayesian VARs: Specification Choices and Forecast Accuracy 2015Common Drifting Volatility in Large Bayesian VARs 2016A discussion on: Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Ranking, by W. Ehm, T. Gneiting, A. Jordan, and A. Krueger 2018Forecasting risk with Markov-switching GARCH models:A large-scale performance study 2018Forecasting cryptocurrencies under model and parameter instability

Details

Year2010

Typearticle

Published2010-01-15

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations376

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.ijforecast.2009.10.007

openalex_workW3122012037

Links

Imported from OpenAlex (CC0) — nothing here is generated.