Multi-agent-based VaR forecasting
Year of publication: |
2021
|
---|---|
Authors: | Tubbenhauer, Tobias ; Fieberg, Christian ; Poddig, Thorsten |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 131.2021, p. 1-26
|
Subject: | Agent-based modeling | MSM Estimation | VaR Forecasting | Prognoseverfahren | Forecasting model | Theorie | Theory | VAR-Modell | VAR model | Agentenbasierte Modellierung | Risikomaß | Risk measure |
-
Testing for structural breaks in correlations : does it improve Value-at-Risk forecasting?
Berens, Tobias, (2015)
-
Ñíguez, Trino-Manuel, (2003)
-
Forecasting intraday volatility and VaR using multiplicative component GARCH model
Diao, Xundi, (2015)
- More ...
-
Fieberg, Christian, (2016)
-
The Cross-Section of Cryptocurrency Risk and Return
Günther, Steffen, (2020)
-
Risk models vs characteristic models from an investor’s perspective
Fieberg, Christian, (2019)
- More ...