2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns : Out-of-sample comparison of conditional EVT models
Matthew F. Tomlinson, David Greenwood, Marcin Mucha-Kruczyński
| Year of publication: |
2024
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|---|---|
| Authors: | Tomlinson, Matthew F. ; Greenwood, David ; Mucha-Kruczyński, Marcin |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier Science, ISSN 0169-2070, ZDB-ID 1495951-3. - Vol. 40.2024, 1, p. 324-347
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| Subject: | Conditional extreme value theory | Expected shortfall | GARCH-EVT | Hawkes processes | Leverage effect | Value at risk | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Theorie | Theory | Schätzung | Estimation | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Ausreißer | Outliers | Volatilität | Volatility | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2023.03.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014450274