Quintile regression based approach for dynamical VaR and CVaR forecasting using metalog distribution
The paper proposes a new method of dynamic VaR and CVaR (ES) risk measures forecasting. Quantile linear GARCH model is chosen as the main forecasting model for time series quantiles. To build a forecast, the values of quantiles are approximated by the metalog distribution, which makes it possible t...
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| Principais autores: | , |
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| Formato: | Artigo |
| Idioma: | Ucraniano |
| Publicado em: |
Igor Sikorsky Kyiv Polytechnic Institute
2021-07-01
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| coleção: | Sistemnì Doslìdženâ ta Informacìjnì Tehnologìï |
| Assuntos: | |
| Acesso em linha: | http://journal.iasa.kpi.ua/article/view/236942 |
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