Improving the value at risk forecasts : theory and evidence from the financial crisis
Roxana Halbleib; Winfried Pohlmeier
| Year of publication: |
2012
|
|---|---|
| Authors: | Halbleib, Roxana ; Pohlmeier, Winfried |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 36.2012, 8, p. 1212-1228
|
| Subject: | Value-at-risk | Optimal forecast combination | Quantile regression | Method of moments | Financial crisis | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Finanzkrise | Momentenmethode | Statistische Verteilung | Statistical distribution |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009655698