Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility : international evidence
Stavros Degiannakis; Christos Floros; Pamela Dent
| Year of publication: |
2013
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|---|---|
| Authors: | Degiannakis, Stavros ; Floros, Christos ; Dent, Pamela |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 27.2013, p. 21-33
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| Subject: | Expected shortfall | Long memory | Multi-period forecasting | Value-at-risk | Volatility forecasting | Volatilität | Volatility | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Schätzung | Estimation | Deutschland | Germany | ARMA-Modell | ARMA model | Theorie | Theory | Prognose | Forecast | Großbritannien | United Kingdom |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009736952