Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - 2013
means of conditional moments of simulated bivariate standardized copula distributions. We conduct in-sample forecasting … on the basis of their one-step ahead forecasting performance. With regard to forecast unbiasedness and precision … distributions ; expected shortfall ; GARCH ; model selection ; non-Gaussian innovations ; risk forecasting ; value-at-risk …