ON ACCURACY OF LONG-TERM RISK FORECASTSBY NORMAL VARIANCE-MEAN MIXTURES DECOMPOSITION ALGORITHMстатья
Статья опубликована в журнале из перечня ВАК
Статья опубликована в журнале из списка Web of Science и/или Scopus
Дата последнего поиска статьи во внешних источниках: 8 февраля 2017 г.
Аннотация:This article provides an accuracy and applicability analysis of the approach to risk forecasting usingparametric mixture models. The studied method is based upon results of the modified grid-basedtwo-step decomposition algorithm for variance-mean mixtures. Instead of setting a fixed forecastinterval, an approach is introduced to dynamically monitor relevant metrics for forecasts in a widetime frame, producing the basis for decision making regarding the quality and reliability of predictionsfor certain periods of time.
http://rdcu.be/kiM7