Improving the value at risk forecasts: theory and evidence from the financial crisis (Q310964)
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scientific article; zbMATH DE number 6630488
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Improving the value at risk forecasts: theory and evidence from the financial crisis |
scientific article; zbMATH DE number 6630488 |
Statements
Improving the value at risk forecasts: theory and evidence from the financial crisis (English)
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28 September 2016
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value-at-risk
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optimal forecast combination
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quantile regression
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method of moments
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financial crisis
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0.8785689
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0.8636192
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0.86084205
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0.85871005
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