Forecasting expected shortfall : should we use a multivariate model for stock market factors?
Alain-Philippe Fortin, Jean-Guy Simonato, Georges Dionne
| Year of publication: |
2023
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|---|---|
| Authors: | Fortin, Alain-Philippe ; Simonato, Jean-Guy ; Dionne, Georges |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 39.2023, 1, p. 314-331
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| Subject: | Backtesting | Comparative predictive accuracy | Conditional value at risk | Elicitability | Expected shortfall | Fama–French and momentum factors | Model comparison | Model confidence set | Value at risk | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Theorie | Theory | Schätzung | Estimation | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Faktorenanalyse | Factor analysis | Aktienmarkt | Stock market | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Multivariate Analyse | Multivariate analysis | Statistischer Test | Statistical test |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2021.11.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014462782