• Higher Moment Constraints for Predictive Density Combinations 

      Pauwels, Laurent; Radchenko, Peter; Vasnev, Andrey
      Published 2019-03-19
      The majority of financial data exhibit asymmetry and heavy tails, which makes forecasting the entire density critically important. Recently, a forecast combina- tion methodology has been developed to combine predictive ...
      Open Access
      Working Paper
    • Higher Moment Constraints for Predictive Density Combinations 

      Pauwels, Laurent; Radchenko, Peter; Vasnev, Andrey
      Published 2020-05-01
      The majority of financial data exhibit asymmetry and heavy tails, which makes forecasting the entire density critically important. Recently, a forecast combination methodology has been developed to combine predictive ...
      Open Access
      Article