Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
Year of publication: |
2019
|
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Authors: | Patton, Andrew J. ; Ziegel, Johanna F. ; Chen, Rui |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 211.2019, 2, p. 388-413
|
Subject: | Crashes | Forecasting | Generalized autoregressive score | Risk management | Tails | Theorie | Theory | Risikomaß | Risk measure | Risikomanagement | Prognoseverfahren | Forecasting model | Finanzdienstleistung | Financial services | Nichtparametrisches Verfahren | Nonparametric statistics |
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