Does the tail risk index matter in forecasting downside risk?
Jui-Cheng Hung, Hung-Chun Liu, J. Jimmy Yang
| Year of publication: |
2023
|
|---|---|
| Authors: | Hung, Jui-Cheng ; Liu, Hung-Chun ; Yang, J. Jimmy |
| Subject: | downside risk | realized GARCH | SKEW | VaR | VVIX | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Schätzung | Estimation | Aktienindex | Stock index | Risiko | Risk | VAR-Modell | VAR model | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Risikomanagement | Risk management |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/ijfe.2602 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014327761