Combining Value-at-Risk and Expected Shortfall forecasts via the Model Confidence Set

Documenti analoghi

• Using quantile time series and historical simulation to forecast financial risk multiple steps ahead
  di: Gerlach, Richard, et al.
  Pubblicazione: (2025)
• Combining a Large Pool of Forecasts of Value-at-Risk and Expected Shortfall
  di: Taylor, James W., et al.
  Pubblicazione: (2025)
• Quantile-based modeling of scale dynamics in financial returns for Value-at-Risk and Expected Shortfall forecasting
  di: Liu, Xiaochun, et al.
  Pubblicazione: (2026)
• A semi-parametric dynamic conditional correlation framework for risk forecasting
  di: Storti, Giuseppe, et al.
  Pubblicazione: (2022)
• CAESar: Conditional Autoregressive Expected Shortfall
  di: Gatta, Federico, et al.
  Pubblicazione: (2024)