Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market
Year of publication: |
2020
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Authors: | Sobreira, Nuno ; Louro, Rui |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 32.2020, p. 1-7
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Subject: | Backtesting | Euronext Lisbon | Expected Shortfall | Extreme Value Theory | GARCH | VaR | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Volatilität | Volatility | ARCH-Modell | ARCH model | Portugal | Statistische Verteilung | Statistical distribution | Aktienindex | Stock index | Ausreißer | Outliers |
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