A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Chao Wang, Richard Gerlach and Qian Chen
| Year of publication: |
2023
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|---|---|
| Authors: | Wang, Chao ; Gerlach, Richard ; Chen, Qian |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 2, p. 309-334
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| Subject: | Expected shortfall | Markov chain Monte Carlo | Quantile regression | Realized measure | Value-at-risk | Risikomaß | Risk measure | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Markov-Kette | Markov chain | Schätzung | Estimation | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Messung | Measurement | Nichtparametrisches Verfahren | Nonparametric statistics | ARCH-Modell | ARCH model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2157322 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014232647