The information content of sentiment indices for forecasting Value at Risk and Expected Shortfall in equity markets
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More about this item
Keywords
Realized Exponential GARCH; sentiment indices; economic policy uncertainty; tail risk forecasting; risk management.;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
- E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FOR-2022-05-02 (Forecasting)
- NEP-MAC-2022-05-02 (Macroeconomics)
- NEP-ORE-2022-05-02 (Operations Research)
- NEP-RMG-2022-05-02 (Risk Management)
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