Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - 2013
distributions ; expected shortfall ; GARCH ; model selection ; non-Gaussian innovations ; risk forecasting ; value-at-risk … financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and … means of conditional moments of simulated bivariate standardized copula distributions. We conduct in-sample forecasting …