Forecasting time-dependent conditional densities. A neural network approach.
In financial econometrics the modeling of asset return series is closely related to the estimation of the corresponding conditional densities. One reason why one is interested in the whole conditional density and not only in the conditional mean, is that the conditional variance can be interpreted a...
| Main Authors: | , , |
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| Format: | Others |
| Language: | en |
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SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business
1999
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| Subjects: | |
| Online Access: | http://epub.wu.ac.at/1082/1/document.pdf |