A new model for forecasting VaR and ES using intraday returns aggregation
Year of publication: |
2023
|
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Authors: | Song, Shijia ; Li, Handong |
Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 42.2023, 5, p. 1039-1054
|
Subject: | ES | GAS | high-frequency | R-Vine copula | VaR | Prognoseverfahren | Forecasting model | VAR-Modell | VAR model | Kapitaleinkommen | Capital income | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Aggregation |
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