Forecasting gains by using extreme value theory with realised GARCH filter
Year of publication: |
2021
|
---|---|
Authors: | Paul, Samit ; Sharma, Prateek |
Published in: |
IIMB management review. - Bangalore : IIMB, ISSN 0970-3896, ZDB-ID 2413253-6. - Vol. 33.2021, 1, p. 64-70
|
Subject: | Extreme value theory | Realised GARCH | Skewed student-t | Realised kernel | Value-at-risk | Expected shortfall | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Ausreißer | Outliers | Statistische Verteilung | Statistical distribution | Theorie | Theory | Aktienindex | Stock index |
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