Observation-driven models for realized variances and overnight returns applied to value-at-risk and expected shortfall forecasting
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 |
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