Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
Antonio Naimoli, Richard Gerlach, Giuseppe Storti
| Year of publication: |
2022
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|---|---|
| Authors: | Naimoli, Antonio ; Gerlach, Richard ; Storti, Giuseppe |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 107.2022, p. 1-19
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| Subject: | Expected Shortfall | ICA | PCA | Realized GARCH | Realized volatility | Value-at-Risk | Volatilität | Volatility | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Monte-Carlo-Simulation | Monte Carlo simulation | Schätzung | Estimation | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2021.105701 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013367470