Singular spectrum analysis for value at risk in stochastic volatility models
Year of publication: |
2022
|
---|---|
Authors: | Arteche, Josu ; García-Enríquez, Javier |
Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 41.2022, 1, p. 3-16
|
Subject: | forecasting | signal extraction | singular spectrum analysis | stochastic volatility | value at risk | Theorie | Theory | Volatilität | Volatility | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model |
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