A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures (Q6158402)
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scientific article; zbMATH DE number 7698384
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures |
scientific article; zbMATH DE number 7698384 |
Statements
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures (English)
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20 June 2023
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quantile regression
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realized measure
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Markov chain Monte Carlo
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value-at-risk
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expected shortfall
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