Comparison of Value at Risk (VaR) Multivariate Forecast Models

We investigate the performance of VaR (Value at Risk) forecasts, considering different multivariate models: HS (Historical Simulation), DCC-GARCH (Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity) with normal and Student’s t distribution, GO-GARCH (Generalize...

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Detalles Bibliográficos
Autores principales: Müller, Fernanda Maria, Righi, Marcelo Brutti
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9648899/
https://www.ncbi.nlm.nih.gov/pubmed/36406764
http://dx.doi.org/10.1007/s10614-022-10330-x

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9648899/
https://www.ncbi.nlm.nih.gov/pubmed/36406764
http://dx.doi.org/10.1007/s10614-022-10330-x

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