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
|
|---|---|
| Authors: | Wang, Chao ; Gerlach, Richard ; Chen, Qian |
| Subject: | Expected shortfall | Markov chain Monte Carlo | Quantile regression | Realized measure | Value-at-risk | Risikomaß | Risk measure | Theorie | Theory | Schätzung | Estimation | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Kapitaleinkommen | Capital income | Risikomanagement | Risk management | Messung | Measurement | Volatilität | Volatility | 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