Assessing fat-tailed sequential forecast distributions for the Dow-Jones index with logarithmic scoring rules

Sanfilippo, Giuseppe; Agró, Gianna; Lad, Frank

by Giuseppe Sanfilippo, Gianna Agró, Frank Lad

Reference:

Giuseppe Sanfilippo, Gianna Agró, Frank Lad, "Assessing fat-tailed sequential forecast distributions for the Dow-Jones index with logarithmic scoring rules", In Bulletin of the International Statistical Institute: Proc of the 56th Session of the International Statistical Institute, ISI'07, Lisbon. August 22-29, vol. LXII(2007), pp. 5681-5684, 2007.

Bibtex Entry:

@INPROCEEDINGS{2007SAL-ISI,
  author = {Giuseppe Sanfilippo and Gianna Agr\'{o} and Frank Lad},
  title = {Assessing fat-tailed sequential forecast distributions for the Dow-Jones
	index with logarithmic scoring rules},
  booktitle = {Bulletin of the International Statistical
	
	Institute: Proc of the 56th Session of the International Statistical
	Institute, ISI'07, Lisbon. August 22-29},
  year = {2007},
  editor = {Gomes, M. Ivette and Pinto Martins, Jos\`e Alberto and Silva, Jos\`e
	Alberto},
  volume = {LXII(2007)},
  pages = {5681-5684},
  note = {ISBN: 978-972-673-992-0},
  isbn={978-972-673-992-0},
  file = {:http\://sites.unipa.it/sanfilippo/pdf/2007/ISI07/ISI_original_2007.pdf:PDF},
  url = {http://sites.unipa.it/sanfilippo/pdf/2007/ISI07/ISI_original_2007.pdf}
}