Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment (Q1657604)
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scientific article; zbMATH DE number 6917212
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| English | Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment |
scientific article; zbMATH DE number 6917212 |
Statements
Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment (English)
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13 August 2018
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Value-at-Risk
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forecasting
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wavelet decomposition
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regulatory back-testing
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0.7631329298019409
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0.7576888799667358
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0.7398999929428101
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0.7291773557662964
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0.7214051485061646
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