Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets
Man Wang, Yihan Cheng
| Year of publication: |
2022
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|---|---|
| Authors: | Wang, Man ; Cheng, Yihan |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 41.2022, 8, p. 1595-1607
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| Subject: | expected shortfall | value at risk | realized measures | risk forecasting | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Messung | Measurement | Prognose | Forecast | Risiko | Risk | Statistische Verteilung | Statistical distribution | Varianzanalyse | Analysis of variance | Aktienmarkt | Stock market | Schätzung | Estimation | Theorie | Theory | Maßzahl | Statistical measures |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2881 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013465725