Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures
Richard Gerlach, Chao Wang
| Year of publication: |
2020
|
|---|---|
| Authors: | Gerlach, Richard ; Wang, Chao |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 36.2020, 2, p. 489-506
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| Subject: | Realized variance | Realized range | Semi-parametric | Markov chain Monte Carlo | Value-at-Risk | Expected shortfall | Risikomaß | Risk measure | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Nichtparametrisches Verfahren | Nonparametric statistics | Volatilität | Volatility | Theorie | Theory | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Varianzanalyse | Analysis of variance | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution |
| Description of contents: | Description [doi.org] |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Erratum enthalten in: International journal of forecasting, Volume 37, issue 3 (July/September 2021), Seite 1331-1332 |
| Other identifiers: | 10.1016/j.ijforecast.2019.07.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012415185