Dynamic tail risk forecasting : what do realized skewness and kurtosis add?
Giampiero M. Gallo, Ostap Okhrin, Giuseppe Storti
| Year of publication: |
ottobre 2024 ; Prima edizione
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|---|---|
| Authors: | Gallo, Giampiero M. ; Okhrin, Ostap ; Storti, Giuseppe |
| Publisher: |
Cagliari : Arkadia |
| Subject: | Value at Risk | CAViaR | Expected Shortfall | Realized Skewness | Realized Kurtosis | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | Volatilität | Volatility | Aktienindex | Stock index | Prognoseverfahren | Forecasting model | Theorie | Theory | Risiko | Risk | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Schätzung | Estimation |
| Extent: | 1 Online-Ressource (circa 39 Seiten) Illustrationen |
|---|---|
| Series: | Working papers. - Cagliari : CRENOS, ZDB-ID 3011972-8. - Vol. 2024, 16 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| ISBN: | 978-88-6851-543-0 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015099208