Measuring tail risk

DOI10.1016/j.jeconom.2024.105769MaRDI QIDQ6554228

Marcel Prokopczuk, Fabian Hollstein, Christoph Matthias Würsig, Maik Dierkes

Publication date: 12 June 2024

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

tail riskreturn forecastingtail event forecasting

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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