Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations (Q4687527)
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scientific article; zbMATH DE number 6952436
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations |
scientific article; zbMATH DE number 6952436 |
Statements
Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations (English)
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12 October 2018
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risk measures
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value at risk
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regime-switching models
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extreme value theory
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skewed distributions
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out-of-sample
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