Semi-parametric financial risk forecasting incorporating multiple realized measures
Rangika Peiris, Chao Wang, Richard Gerlach and Minh-Ngoc Tran
| Year of publication: |
2024
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|---|---|
| Authors: | Peiris, Rangika ; Wang, Chao ; Gerlach, Richard ; Minh-Ngoc Tran |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 24.2024, 12, p. 1823-1837
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| Subject: | Expected shortfall | Markov chain Monte Carlo | Realized measures | Semi-parametric | Value-at-risk | Risikomaß | Risk measure | Monte-Carlo-Simulation | Monte Carlo simulation | Nichtparametrisches Verfahren | Nonparametric statistics | Markov-Kette | Markov chain | Prognoseverfahren | Forecasting model | Theorie | Theory | Portfolio-Management | Portfolio selection | Messung | Measurement | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2024.2431564 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015196974