Forecast combinations for value at risk and expected shortfall
James W. Taylor
| Year of publication: |
2020
|
|---|---|
| Authors: | Taylor, James W. |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 36.2020, 2, p. 428-441
|
| Subject: | Value at risk | Expected shortfall | Combining | Elicitability | Scoring functions | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Theorie | Theory |
| Description of contents: | Description [doi.org] |