Improving value-at-risk prediction under model uncertainty
Shige Peng, Shuzhen Yang and Jianfeng Yao
| Year of publication: |
2023
|
|---|---|
| Authors: | Peng, Shige ; Yang, Shuzhen ; Yao, Jianfeng |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 1, p. 228-259
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| Subject: | empirical finance | G-normal distribution | model uncertainty | sublinear expectation | value-at-risk | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Risiko | Risk | Theorie | Theory | Entscheidung unter Unsicherheit | Decision under uncertainty | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbaa022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013542865