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14-090/III - Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities


  • Authors
    Anne Opschoor, VU University Amsterdam; Dick van Dijk, Erasmus University Rotterdam; Michel van der Wel, Erasmus University Rotterdam
  • Publication date
    July 21, 2014
  • Keywords
    Density forecast evaluation, Volatility modeling, Censored likelihood, Value-at-Risk
  • JEL
    C53, C58, G17