Forecasting Value at Risk and Expected Shortfall Based on Serial Pair-Copula Constructions
Year of publication: |
2015
|
---|---|
Authors: | Righi, Marcelo |
Other Persons: | Ceretta, Paulo Sergio (contributor) |
Publisher: |
[2015]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution |
Extent: | 1 Online-Ressource (21 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Expert Systems with Applications, 42 : 6380–6390 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 23, 2015 erstellt |
Other identifiers: | 10.2139/ssrn.2257554 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Forecasting value-at-risk under temporal and portfolio aggregation
Kole, Erik, (2015)
-
Bayesian forecasting of value at risk and expected shortfall using adaptive importance sampling
Hoogerheide, Lennart, (2008)
-
Wilkens, Sascha, (2019)
- More ...
-
Pair copula constructions to determine the dependence structure of Treasury bond yields
Righi, Marcelo Brutti, (2015)
-
Teoria de medidas de risco : uma revisão abrangente
Righi, Marcelo Brutti, (2014)
-
Risk prediction management and weak form market efficiency in Eurozone financial crisis
Righi, Marcelo Brutti, (2013)
- More ...