A comparison of Range Value at Risk (RVaR) forecasting models
Fernanda Maria Müller, Thalles Weber Gössling, Samuel Solgon Santos, Marcelo Brutti Righi
| Year of publication: |
2024
|
|---|---|
| Authors: | Müller, Fernanda Maria ; Gössling, Thalles Weber ; Santos, Samuel Solgon ; Righi, Marcelo Brutti |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 43.2024, 3, p. 509-543
|
| Subject: | multivariate model | Range Value at Risk (RVaR) | risk forecasting | univariate model | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Theorie | Theory | Risiko | Risk | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Multivariate Analyse | Multivariate analysis | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3043 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014532345