Forecasting Time-varying Value--at--Risk and Expected Shortfall Dependence: A Markov-switching Generalized Autoregressive Score Copula Approach
The importance of accurately forecasting extreme financial losses and their effects on the institutions involved in a given financial market has been highlighted by recent financial catastrophes. The flexibility with which econometric models can take into account the highly non-linear and asymmetri...
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| Format: | Article |
| Language: | English |
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Austrian Statistical Society
2024-01-01
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| Series: | Austrian Journal of Statistics |
| Online Access: | https://www.ajs.or.at/index.php/ajs/article/view/1710 |