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Marginals versus copulas : Which account for more model risk in multivariate risk forecasting?
Fritzsch, Simon; Timphus, Maike; Weiß, Gregor - In: Journal of banking and finance 158 (2024), pp. 1-21
Persistent link: https://www.econbiz.de/10014451960
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A Worst-Case Risk Measure by G-VaR
Pei, Ziting - 2020
A kind of worst-case value-at-risk, GVaR, is defined to measure risk incorporating model uncertainty. Compared with most extant notions of worst-case VaR, GVaR can be computed by an explicit formula, and can be applied to large portfolios of several hundreds dimensions with low computational...
Persistent link: https://www.econbiz.de/10012849174
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Risk measurement, econometrics and neural networks : selected articles of the 6th Econometric-Workshop in Karlsruhe, Germany
Bol, Georg (ed.); Abberger, Klaus (ed.);  … - Karlsruher Ökonometrie-Workshop <6, 1997, Karlsruhe> - 1998
Persistent link: https://www.econbiz.de/10014013337
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Climate risks and forecastability of US inflation : evidence from dynamic quantile model averaging
Luo, Jiawen; Fu, Shengjie; Cepni, Oguzhan; Gupta, Rangan - 2024
Persistent link: https://www.econbiz.de/10014529004