Forecasting expected shortfall and value at risk with a joint elicitable mixed data sampling model
Qifa Xu, Lu Chen, Cuixia Jiang, Yezheng Liu
| Year of publication: |
2022
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| Authors: | Xu, Qifa ; Chen, Lu ; Jiang, Cuixia ; Liu, Yezheng |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 41.2022, 3, p. 407-421
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| Subject: | expected shortfall | financial risk forecasting | joint elicitable | mixed data sampling | mixed-frequency data | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Theorie | Theory | Stichprobenerhebung | Sampling | Portfolio-Management | Portfolio selection | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2817 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013166148