Lorena Couso

Caixa Bank Asset Management

Spain

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Scholarly Papers (1)

1.

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

Journal of Forecasting. https://doi.org/10.1002/for.2521
Number of pages: 25 Posted: 11 Sep 2017 Last Revised: 20 Jul 2018
Ricardo Crisóstomo and Lorena Couso
Comisión Nacional del Mercado de Valores (CNMV) and Caixa Bank Asset Management
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Abstract:

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