Forecasting VaR and ES using the joint regression combined forecasting model in the Chinese stock market
Xunfa Lu, Kang Sheng and Zhengjun Zhang
| Year of publication: |
2024
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|---|---|
| Authors: | Lu, Xunfa ; Sheng, Kang ; Zhang, Zhengjun |
| Published in: |
International journal of emerging markets. - Bradford : Emerald, ISSN 1746-8817, ZDB-ID 2242085-X. - Vol. 19.2024, 10, p. 3393-3417
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| Subject: | Value at risk | Expected shortfall | Elicitability | Scoring functions | Combining forecast | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | China | Prognose | Forecast | Regressionsanalyse | Regression analysis | Schätzung | Estimation | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/IJOEM-06-2022-0941 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015386539