Robust forecast evaluation of expected shortfall
Year of publication: |
2020
|
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Authors: | Ziegel, Johanna F. ; Krüger, Fabian ; Jordan, Alexander I. ; Fasciati, Fernando |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 18.2020, 1, p. 95-120
|
Subject: | Expected Shortfall | forecasting | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Theorie | Theory |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Published: 04 February 2019 |
Other identifiers: | 10.1093/jjfinec/nby035 [DOI] 10.1093/jjfinec/nby035$ [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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