Flexible weighted dirichlet process mixture modelling and evaluation to address the problem of forecasting return distribution
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DOI: 10.1080/10485252.2020.1836560
Abstract: ABSTRACT Forecasting volatility has been widely addressed in the fields of finance, environmetrics, and other areas involving massive time series. The important part of addressing this problem is how to specify the error term's distribution.… read more here.
Keywords: dirichlet process; address problem; problem forecasting; problem ... See more keywords