Tail risk forecasting with semiparametric regression models by incorporating overnight information
Cathy W. S. Chen, Takaaki Koike, Wei-Hsuan Shau
| Year of publication: |
2024
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|---|---|
| Authors: | Chen, Cathy W. S. ; Koike, Takaaki ; Shau, Wei-Hsuan |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 43.2024, 5, p. 1492-1512
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| Subject: | CAViaR model | expected shortfall | Markov chain Monte Carlo method | nowcasting | realized measures | Value-at-Risk | Risikomaß | Risk measure | Monte-Carlo-Simulation | Monte Carlo simulation | Prognoseverfahren | Forecasting model | Theorie | Theory | Markov-Kette | Markov chain | Schätzung | Estimation | Nichtparametrisches Verfahren | Nonparametric statistics | Kapitaleinkommen | Capital income | Risiko | Risk | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3090 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015108416