Modeling uncertainty in financial tail risk : a forecast combination and weighted quantile approach
Giuseppe Storti, Chao Wang
| Year of publication: |
2023
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|---|---|
| Authors: | Storti, Giuseppe ; Wang, Chao |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 42.2023, 7, p. 1648-1663
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| Subject: | expected shortfall | forecast combination | joint loss | value-at-risk | weighted quantile | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Risiko | Risk | Theorie | Theory | Modellierung | Scientific modelling | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2972 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014432743