The information content of sentiment indices in forecasting Value at Risk and Expected Shortfall : a Complete Realized Exponential GARCH-X approach
Antonio Naimoli
| Year of publication: |
2023
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| Authors: | Naimoli, Antonio |
| Published in: |
International economics : a journal published by CEPII (Center for research and expertise on the world economy). - [Amsterdam] : Elsevier, ISSN 2110-7017, ZDB-ID 1232628-8. - Vol. 176.2023, p. 1-12
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| Subject: | Realized Exponential GARCH | Sentiment indices | Economic policy uncertainty | Tail risk forecasting | Risk management | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Risikomanagement | Risiko | Risk | Volatilität | Volatility | Frühindikator | Leading indicator | Wirtschaftsindikator | Economic indicator | Zeitreihenanalyse | Time series analysis | Statistische Verteilung | Statistical distribution | Aktienindex | Stock index | Theorie | Theory |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.inteco.2023.100459 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014468603