2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns : Out-of-sample comparison of conditional EVT models
Year of publication: |
2024
|
---|---|
Authors: | Tomlinson, Matthew F. ; Greenwood, David ; Mucha-Kruczyński, Marcin |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier Science, ISSN 0169-2070, ZDB-ID 1495951-3. - Vol. 40.2024, 1, p. 324-347
|
Subject: | Conditional extreme value theory | Expected shortfall | GARCH-EVT | Hawkes processes | Leverage effect | Value at risk | Theorie | Theory | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Ausreißer | Outliers | Portfolio-Management | Portfolio selection |
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