Volatility forecasts by clustering : applications for VaR estimation
Zijin Wang, Peimin Chen, Peng Liu, Chunchi Wu
| Year of publication: |
2024
|
|---|---|
| Authors: | Wang, Zijin ; Chen, Peimin ; Liu, Peng ; Wu, Chunchi |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier Science, ISSN 1059-0560, ZDB-ID 2026509-8. - Vol. 94.2024, Art.-No. 103355, p. 1-17
|
| Subject: | Fisher’s optimal dissection | Value-at-risk | Volatility forecasts | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | ARCH-Modell | ARCH model | VAR-Modell | VAR model | Schätzung | Estimation | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2024.05.034 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014582647