Forecasting multidimensional tail risk at short and long horizons
Year of publication: |
October-December 2017
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Authors: | Polanski, Arnold ; Stoja, Evarist |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 33.2017, 4, p. 958-969
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Subject: | Multidimensional risk | Multidimensional value at risk | Two-factor decomposition | Long horizon forecasting | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Risiko | Risk | Multivariate Analyse | Multivariate analysis | Risikomanagement | Risk management |
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