Estimation window strategies for value-at-risk and expected shortfall forecasting
Tobias Berens, Gregor N.F. Weiß and Daniel Ziggel
| Year of publication: |
June 2018
|
|---|---|
| Authors: | Berens, Tobias ; Weiß, Gregory N. F. ; Ziggel, Daniel |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 20.2017/2018, 5, p. 33-82
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| Subject: | value-at-risk (VaR) | estimation window | forecasting | expected shortfall (ES) | backtesting | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Theorie | Theory | ARCH-Modell | ARCH model | VAR-Modell | VAR model |