Direct versus iterated multiperiod Value-at-Risk forecasts
Esther Ruiz, María Rosa Nieto
| Year of publication: |
2023
|
|---|---|
| Authors: | Ruiz, Esther ; Nieto, María Rosa |
| Subject: | conditional heteroscedasticity | conditional quantiles | direct forecasts | iterated forecasts | multiperiod forecasts | risk | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Prognose | Forecast | Risiko | Risk | ARCH-Modell | ARCH model | Heteroskedastizität | Heteroscedasticity | Schätztheorie | Estimation theory |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/joes.12522 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014337985