Forecasting value at risk and expected shortfall using a model with a dynamic omega ratio
James W. Taylor
| Year of publication: |
2022
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|---|---|
| Authors: | Taylor, James W. |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 140.2022, p. 1-15
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| Subject: | Autoregressive models | Expected shortfall | Expectiles | Omega ratio | Value at Risk | Theorie | Theory | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2022.106519 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013463062