Forecasting risk with Markov-switching GARCH models : a large-scale performance study
David Ardia, Keven Bluteau, Kris Boudt, Leopoldo Catania
| Year of publication: |
2018
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|---|---|
| Authors: | Ardia, David ; Bluteau, Keven ; Boudt, Kris ; Catania, Leopoldo |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 34.2018, 4, p. 733-747
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| Subject: | GARCH | MSGARCH | Forecasting performance | Large-scale study | Value-at-risk | Expected shortfall | Risk management | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Risikomanagement | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Risiko | Risk | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Erratum enthalten in: Volume 37, issue 3 (July/September 2021), Seite 1300-1301 |
| Other identifiers: | 10.1016/j.ijforecast.2018.05.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012031094