Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect
Armin Pourkhanali, Laleh Tafakori, Marco Bee
| Year of publication: |
2023
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|---|---|
| Authors: | Pourkhanali, Armin ; Tafakori, Laleh ; Bee, Marco |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 89.2023, p. 1-15
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| Subject: | Forecasting | Stock returns | Exponential GARCH | Log-GARCH | Time-varying parameters | Value-at-risk | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Volatilität | Volatility | Kapitaleinkommen | Capital income | Schätzung | Estimation | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Kapitalmarktrendite | Capital market returns |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2023.102803 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014467094