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