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...
| Main Author: | |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
Elsevier
2019
|