Dynamic density forecasts for multivariate asset returns
Work
Year: 2010
Type: article
Abstract: We propose a simple and flexible framework for forecasting the joint density of asset returns. The multinormal distribution is augmented with a polynomial in (time-varying) non-central co-moments of a... more
Source: Journal of Forecasting
Authors Arnold Polanski, Evarist Stoja
Institutions Queen's University Belfast, University of Bristol
Cites: 57
Cited by: 2
Related to: 10
FWCI: 0.273
Citation percentile (by year/subfield): 59.94
Subfield: Finance
Domain: Social Sciences
Open Access status: green