Measuring tail risk
Maik Dierkes, Fabian Hollstein, Marcel Prokopczuk, Christoph Matthias Würsig
| Year of publication: |
2024
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|---|---|
| Authors: | Dierkes, Maik ; Hollstein, Fabian ; Prokopczuk, Marcel ; Würsig, Christoph Matthias |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ZDB-ID 1460617-3. - Vol. 241.2024, 2, Art.-No. 105769, p. 1-24
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| Subject: | Return forecasting | Tail event forecasting | Tail risk | Prognoseverfahren | Forecasting model | Statistische Verteilung | Statistical distribution | Risiko | Risk | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Ausreißer | Outliers | Schätzung | Estimation | Prognose | Forecast |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2024.105769 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015075193