Predicting tail risks by a Markov switching MGARCH model with varying copula regimes
Markus J. Fülle, Helmut Herwartz
| Year of publication: |
2024
|
|---|---|
| Authors: | Fülle, Markus J. ; Herwartz, Helmut |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 43.2024, 6, p. 2163-2186
|
| Subject: | VaR | forecasting | copula | Markov switching | ES | MGARCH | Markov-Kette | Markov chain | Multivariate Verteilung | Multivariate distribution | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Schätzung | Estimation | VAR-Modell | VAR model | Theorie | Theory | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3117 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015110378