Modeling and evaluating conditional quantile dynamics in VaR forecasts
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- Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2023. "Modeling and evaluating conditional quantile dynamics in VaR forecasts," Papers 2305.20067, arXiv.org.
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More about this item
Keywords
Risk management; Value at Risk; dynamic quantile; asymmetric loss function; forecast evaluation;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2023-07-10 (Econometrics)
- NEP-MFD-2023-07-10 (Microfinance)
- NEP-RMG-2023-07-10 (Risk Management)
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