Forecasting VaR and ES in emerging markets : the role of time-varying higher moments
Trung H. Le
| Year of publication: |
2024
|
|---|---|
| Authors: | Trung Hai Le |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 43.2024, 2, p. 402-414
|
| Subject: | emerging markets | expected shortfall | GARCH models | time-varying higher moments | value at risk | Schwellenländer | Emerging economies | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Schätzung | Estimation | VAR-Modell | VAR model | Momentenmethode | Method of moments | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3039 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014475347