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Published in 2020 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2019.12.007
Abstract: A novel approach to inference for a specific region of the predictive distribution is introduced. An important domain of application is accurate prediction of financial risk measures, where the area of interest is the left…
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Keywords:
partially censored;
region;
region interest;
approach ... See more keywords