The information content of sentiment indices in forecasting Value at Risk and Expected Shortfall : a Complete Realized Exponential GARCH-X approach
Year of publication: |
2023
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Authors: | Naimoli, Antonio |
Published in: |
International economics : a journal published by CEPII (Center for research and expertise on the world economy). - [Amsterdam] : Elsevier, ISSN 1240-8093, ZDB-ID 1232628-8. - Vol. 176.2023, p. 1-12
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Subject: | Realized Exponential GARCH | Sentiment indices | Economic policy uncertainty | Tail risk forecasting | Risk management | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Risikomanagement | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Wirtschaftsindikator | Economic indicator | Volatilität | Volatility | Risiko | Risk |
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