An empirical investigation of multiperiod tail risk forecasting models
Ning Zhang, Xiaoman Su, Shuyuan Qi
| Year of publication: |
2023
|
|---|---|
| Authors: | Zhang, Ning ; Su, Xiaoman ; Qi, Shuyuan |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 86.2023, p. 1-13
|
| Subject: | Backtest | Expected shortfall | Multiperiod risk forecasting | Value-at-risk | Prognoseverfahren | Forecasting model | Theorie | Theory | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2023.102498 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014248332