Observation-driven models for realized variances and overnight returns applied to value-at-risk and expected shortfall forecasting
Anne Opschoor, André Lucas
| Year of publication: |
2021
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|---|---|
| Authors: | Opschoor, Anne ; Lucas, André |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 37.2021, 2, p. 622-633
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| Subject: | distribution | Expected Shortfall | Overnight volatility | Realized variance | Score-driven dynamics | Value-at-Risk | Volatilität | Volatility | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Varianzanalyse | Analysis of variance | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Schätzung | Estimation | Aktienindex | Stock index | Nichtparametrisches Verfahren | Nonparametric statistics | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2020.07.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012792858