Forecasting tail risk of skewed financial returns having exponential-polynomial tails
Albert Antwi, Emmanuel N. Gyamfi, Anokye M. Adam
| Year of publication: |
2024
|
|---|---|
| Authors: | Antwi, Albert ; Gyamfi, Emmanuel Numapau ; Adam, Anokye M. |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 43.2024, 7, p. 2731-2748
|
| Subject: | exponential-polynomial tails | extreme tail risk | GARCH | generalized hyperbolic skew student-t distribution | value-at-risk | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Volatilität | Volatility | Ausreißer | Outliers | Prognoseverfahren | Forecasting model | Theorie | Theory | Risikomanagement | Risk management | Aktienindex | Stock index | Wechselkurs | Exchange rate | Schätzung | Estimation | Risiko | Risk |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3154 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015110551