Improving the value at risk forecasts: Theory and evidence from the financial crisis
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More about this item
KeywordsValue-at-risk; Optimal forecast combination; Quantile regression; Method of moments; Financial crisis;
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G01 - Financial Economics - - General - - - Financial Crises
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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