Forecasting risk measures using intraday data in a generalized autoregressive score framework
Emese Lazar, Xiaohan Xue
| Year of publication: |
2020
|
|---|---|
| Authors: | Lazar, Emese ; Xue, Xiaohan |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 36.2020, 3, p. 1057-1072
|
| Subject: | Value at risk | Expected shortfall | Generalized autoregressive score dynamics | Realized measures | Intraday data | Risk forecasting | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Messung | Measurement | Theorie | Theory | Risiko | Risk | Zeitreihenanalyse | Time series analysis | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Schätzung | Estimation |
| Description of contents: | Description [doi.org] |