A method for predicting VaR by aggregating generalized distributions driven by the dynamic conditional score
Shijia Song, Handong Li
| Year of publication: |
2023
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|---|---|
| Authors: | Song, Shijia ; Li, Handong |
| Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 88.2023, p. 203-214
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| Subject: | DCS | Generalized distribution | High-frequency data | VaR | Weibull-Pareto distribution | VAR-Modell | VAR model | Theorie | Theory | Statistische Verteilung | Statistical distribution | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2023.01.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014428040