Higher Moment Constraints for Predictive Density Combinations
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- Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey, 2019. "Higher Moment Constraints for Predictive Density Combinations," Working Papers BAWP-2019-01, University of Sydney Business School, Discipline of Business Analytics.
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More about this item
Keywords
Forecast combinations; Predictive densities; Moment constraints; Financial data;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FOR-2020-08-17 (Forecasting)
- NEP-ORE-2020-08-17 (Operations Research)
Statistics
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