Forecasting tail risk measures for financial time series : an extreme value approach with covariates
Robert James, Henry Leung, Jessica Wai Yin Leung, Artem Prokhorov
| Year of publication: |
2023
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|---|---|
| Authors: | James, Robert ; Leung, Henry ; Leung, Jessica Wai Yin ; Prokhorov, Artem |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 71.2023, p. 29-50
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| Subject: | Value-at-risk | Expected shortfall | GARCH models | Extreme value theory | Variable selection | Regularization | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Ausreißer | Outliers | Theorie | Theory | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Risiko | Risk | Finanzmarkt | Financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2023.01.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014292519