Forecasting extreme financial risk : a score-driven approach
Year of publication: |
2023
|
---|---|
Authors: | Fuentes, Fernanda ; Herrera, Rodrigo ; Clements, Adam |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 39.2023, 2, p. 720-735
|
Subject: | Expected Shortfall | Extreme value theory | Forecasting | Realized volatility | Score-driven models | Time-varying parameters | Value at Risk | Risikomaß | Risk measure | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Risikomanagement | Risk management | Theorie | Theory | Ausreißer | Outliers | Schätzung | Estimation | Prognose | Forecast | Aktienindex | Stock index | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Zeitreihenanalyse | Time series analysis |
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