Forecast combinations for value at risk and expected shortfall

Combining provides a pragmatic way of synthesising the information provided by individual forecasting methods. In the context of forecasting the mean, numerous studies have shown that combining often leads to improvements in accuracy. Despite the importance of the value at risk (VaR), though, few pa...

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Bibliographic Details
Main Author: Taylor, JW
Format: Journal article
Language:English
Published: Elsevier 2019