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1 Ergebnisse
1
Forecasting Value-at-Risk and Expected Shortfall in Large P..:
Hallin, Marc
;
Trucíos, Carlos
uri/info:repec/RePEc:eca:wpaper:2013/315983. , 2020
Link:
http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac...
RT Journal T1
Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach
UL https://suche.suub.uni-bremen.de/peid=base-ftunivbruxelles:oai:dipot.ulb.ac.be:2013_315983&Exemplar=1&LAN=DE A1 Hallin, Marc A1 Trucíos, Carlos YR 2020 K1 Econométrie et méthodes statistiques :théorie et applications K1 Econometric and Statistical Methods: General K1 C10 K1 Multiple or Simultaneous Equation Models: Time-Series Models K1 C32 K1 Forecasting and Other Model Applications K1 C53 K1 Financial Forecasting and Simulation K1 G17 K1 Financing Policy K1 Financial Risk and Risk Management K1 Capital and Ownership Structure K1 G32 K1 conditional covariance K1 high-dimensional time series K1 large panels K1 risk measures K1 volatility JF uri/info:repec/RePEc:eca:wpaper:2013/315983 LK http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/315983 DO http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/315983 SF ELIB - SuUB Bremen
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