Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation
Luca Merlo, Lea Petrella, Valentina Raponi
| Year of publication: |
2021
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|---|---|
| Authors: | Merlo, Luca ; Petrella, Lea ; Raponi, Valentina |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 133.2021, p. 1-18
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| Subject: | CAViaR | Expected shortfall | Multiple quantiles | Multivariate asymmetric laplace distribution | Quantile regression | Value at risk | Risikomaß | Risk measure | Regressionsanalyse | Regression analysis | Portfolio-Management | Portfolio selection | Theorie | Theory | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2021.106248 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013256440