Monitoring value-at-risk and expected shortfall forecasts
Yannick Hoga, Matei Demetrescu
| Year of publication: |
2023
|
|---|---|
| Authors: | Hoga, Yannick ; Demetrescu, Matei |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 69.2023, 5, p. 2954-2971
|
| Subject: | backtests | exact distributions | forecasting | risk measures | sequential monitoring | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Theorie | Theory | Messung | Measurement | Risikomanagement | Risk management | Volatilität | Volatility | ARCH-Modell | ARCH model | Risiko | Risk | Kapitaleinkommen | Capital income | Statistischer Test | Statistical test |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2022.4460 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014305469