A new model for forecasting VaR and ES using intraday returns aggregation
Shijia Song, Handong Li
| Year of publication: |
2023
|
|---|---|
| Authors: | Song, Shijia ; Li, Handong |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 42.2023, 5, p. 1039-1054
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| Subject: | ES | GAS | high-frequency | R-Vine copula | VaR | Prognoseverfahren | Forecasting model | VAR-Modell | VAR model | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Aggregation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2932 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014338800