Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment
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Publication:1657604
DOI10.1016/j.jedc.2018.03.016zbMath1401.91571OpenAlexW2795414747WikidataQ130025822 ScholiaQ130025822MaRDI QIDQ1657604
Publication date: 13 August 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2018.03.016
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Uses Software
Cites Work
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- Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting
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