Forecasting value-at-risk under temporal and portfolio aggregation
Erik Kole, Thijs Markwat, Anne Opschoor and Dick van Dijk
| Year of publication: |
2017
|
|---|---|
| Authors: | Kole, Erik ; Markwat, Thijs ; Opschoor, Anne ; Dijk, Dick van |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 15.2017, 4, p. 649-677
|
| Subject: | aggregation | forecast evaluation | model comparison | value-at-risk | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Aggregation | Portfolio-Management | Portfolio selection | Theorie | Theory | ARCH-Modell | ARCH model | Prognose | Forecast |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbx019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011987663