A semi-parametric dynamic conditional correlation framework for risk forecasting
Giuseppe Storti and Chao Wang
| Year of publication: |
2025
|
|---|---|
| Authors: | Storti, Giuseppe ; Wang, Chao |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 25.2025, 1, p. 31-49
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| Subject: | Expected shortfall | Forecasting | Multivariate | Semi-parametric | Value-at-risk | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Nichtparametrisches Verfahren | Nonparametric statistics | Korrelation | Correlation | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Multivariate Analyse | Multivariate analysis | Theorie | Theory | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2024.2446740 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015534052