Dynamic semiparametric models for expected shortfall (and value-at-risk) (Q2000869)
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scientific article
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| English | Dynamic semiparametric models for expected shortfall (and value-at-risk) |
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Dynamic semiparametric models for expected shortfall (and value-at-risk) (English)
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1 July 2019
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risk management
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tails
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crashes
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forecasting
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generalized autoregressive score
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0.90578985
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0.9014476
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0.9003645
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0.89890105
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0.8929115
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0.89115334
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0.88964754
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0.8860979
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