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Hypernormal Densities

Raffaella Giacomini (), Andreas Gottschling, Christian Haefke () and Halbert White
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Andreas Gottschling: Deutsche Bank

No 584, Boston College Working Papers in Economics from Boston College Department of Economics

Abstract: We derive a new family of probability densities that have the property of closed-form integrability. This flexible family finds a variety of applications, of which we illustrate density forecasting from models of the AR-ARCH class for U.S. inflation. We find that the hypernormal distribution for the model's disturbances leads to better density forecasts than the ones produced under the assumption that the disturbances are Normal or Student's t.

Keywords: ARMA-GARCH models; neural networks; nonparametric density estimation; forecast accuracy (search for similar items in EconPapers)
JEL-codes: C63 C53 C45 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mfd
Date: 2002-09-01
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Working Paper: Hypernormal Densities (2002) Downloads
Working Paper: Hypernormal densities (2002) Downloads
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