Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
Andrew J. Patton, Johanna F. Ziegel, Rui Chen
| Year of publication: |
2019
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|---|---|
| Authors: | Patton, Andrew J. ; Ziegel, Johanna ; Chen, Rui |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 211.2019, 2, p. 388-413
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| Subject: | Crashes | Forecasting | Generalized autoregressive score | Risk management | Tails | Risikomaß | Risk measure | Risikomanagement | Theorie | Theory | Prognoseverfahren | Forecasting model | Nichtparametrisches Verfahren | Nonparametric statistics | Finanzkrise | Financial crisis | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.10.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012303806