Semi-parametric expected shortfall forecasting in financial markets (Q5106839)
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scientific article; zbMATH DE number 7191990
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Semi-parametric expected shortfall forecasting in financial markets |
scientific article; zbMATH DE number 7191990 |
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Semi-parametric expected shortfall forecasting in financial markets (English)
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22 April 2020
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CARE model
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nonlinear
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asymmetric Gaussian distribution
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expected shortfall
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Markov chain Monte Carlo method
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semi-parametric
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