Lorena Couso

Caixa Bank Asset Management

Spain

SCHOLARLY PAPERS

1

DOWNLOADS

108

SSRN CITATIONS

6

CROSSREF CITATIONS

0

Scholarly Papers (1)

Financial Density Forecasts: A Comprehensive Comparison of Risk-Neutral and Historical Schemes

Journal of Forecasting. Doi.org/10.1002/for.2521
Number of pages: 25 Posted: 11 Sep 2017 Last Revised: 03 Feb 2020
Ricardo Crisóstomo and Lorena Couso
Comisión Nacional del Mercado de Valores (CNMV) and Caixa Bank Asset Management
Downloads 98 (294,721)

Abstract:

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Probabilistic forecasts, risk-neutral densities, ARCH models, ensemble predictions, model validation

Financial Density Forecasts: A Comprehensive Comparison of Risk-Neutral and Historical Schemes

CNMV Working Paper No. 67 (2017)
Number of pages: 42 Posted: 10 Jun 2019
Ricardo Crisóstomo and Lorena Couso
Comisión Nacional del Mercado de Valores (CNMV) and Caixa Bank Asset Management
Downloads 10 (660,188)
Citation 3

Abstract:

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probabilistic forecasts, risk-neutral densities, ARCH models, ensemble predictions, model validation