Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility : international evidence
Year of publication: |
2013
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Authors: | Degiannakis, Stavros ; Floros, Christos ; Dent, Pamela |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 27.2013, p. 21-33
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Subject: | Expected shortfall | Long memory | Multi-period forecasting | Value-at-risk | Volatility forecasting | ARCH-Modell | ARCH model | Schätzung | Estimation | Volatilität | Volatility | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income |
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