Forecasting expected shortfall and value-at-risk with cross-sectional aggregation
Jie Wang, Yongqiao Wang
| Year of publication: |
2025
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|---|---|
| Authors: | Wang, Jie ; Wang, Yongqiao |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 44.2025, 2, p. 391-423
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| Subject: | cross-sectional aggregation | expected shortfall | long-memory | loss function | value-at-risk | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Theorie | Theory | Aggregation | Portfolio-Management | Portfolio selection |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3195 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015374044