Forecasting value-at-risk under temporal and portfolio aggregation
Year of publication: |
2017
|
---|---|
Authors: | Kole, Erik ; Markwat, Thijs ; Opschoor, Anne ; Dijk, Dick van |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 15.2017, 4, p. 649-677
|
Subject: | aggregation | forecast evaluation | model comparison | value-at-risk | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Theorie | Theory | Portfolio-Management | Portfolio selection | Aggregation | Statistische Verteilung | Statistical distribution |
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