Forecasting value at risk and expected shortfall using a model with a dynamic omega ratio
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 | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Theorie | Theory | Portfolio-Management | Portfolio selection |
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