Forecasting expected shortfall and value at risk with a joint elicitable mixed data sampling model
Year of publication: |
2022
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Authors: | Xu, Qifa ; Chen, Lu ; Jiang, Cuixia ; Liu, Yezheng |
Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 41.2022, 3, p. 407-421
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Subject: | expected shortfall | financial risk forecasting | joint elicitable | mixed data sampling | mixed-frequency data | Theorie | Theory | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Stichprobenerhebung | Sampling | Schätzung | Estimation |
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