Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data
Year of publication: |
2020
|
---|---|
Authors: | Meng, Xiaochun ; Taylor, James W. |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 280.2020, 1 (1.1.), p. 191-202
|
Subject: | Expected Shortfall | Finance | Intraday low | Joint scoring functions | Value-at-Risk | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Volatilität | Volatility | Schätzung | Estimation | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution | Risikomanagement | Risk management | Prognoseverfahren | Forecasting model |
-
Value-at-risk and extreme returns
Daníelsson, Jón, (1997)
-
Prediction of financial downside-risk with heavy-tailed conditional distributions
Mittnik, Stefan, (2003)
-
Nunkoo, Houmera Bibi Sabera, (2023)
- More ...
-
An approximate long-memory range-based approach for value at risk estimation
Meng, Xiaochun, (2018)
-
Comparing probabilistic forecasts of the daily minimum and maximum temperature
Meng, Xiaochun, (2022)
-
An Approximate Long-Memory Range-Based Approach for Value at Risk Estimation
Meng, Xiaochun, (2018)
- More ...