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combining forecasts sign in to follow this
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model uncertainty sign in to follow this
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Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities
Year Of Publication: 2014
Month Of Publication: May
Pages: 39
Download Count: 5
View Count: 1174
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 6-15-2014
Publisher: Administrator
Summary
We investigate the added value of combining density forecasts for asset return prediction in a specific region of support. We develop a new technique that takes into account model uncertainty by assigning weights to individual predictive densities using a scoring rule based on the censored likelihood. We apply this approach in the context of univariate volatility models, using daily returns from the S&P 500 and other indexes. Using our technique improves VaR estimates at short horizons.
Author(s)
Opschoor, Anne Sign in to follow this author
van Dijk, Dick Sign in to follow this author
van der Wel, Michel Sign in to follow this author
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