Lu, Xunfa; Sheng, Kang; Zhang, Zhengjun - In: International Journal of Emerging Markets 19 (2022) 10, pp. 3393-3417
Purpose This paper aims to better jointly estimate Value at Risk (VaR) and expected shortfall (ES) by using the joint regression combined forecasting (JRCF) model. Design/methodology/approach Combining different forecasting models in financial risk measurement can improve their prediction...
