Robust Forecasting of Value-at-Risk and Expected Shortfall with Markov-Switching GARCH Models

Articles

Robust Forecasting of Value-at-Risk and Expected Shortfall with Markov-Switching GARCH Models

Author
Luiz K. Hotta
Co-authors
Jean S. M. Diniz
Abstract
Keywords
Robust statistical methods, Volatility models, Hidden Markov models, Outliers, Value at risk
Modality
Comunicação oral
Subject Area
ESTE 2023

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Reference

HOTTA, Luiz K.; DINIZ, Jean S. M.. Robust Forecasting of Value-at-Risk and Expected Shortfall with Markov-Switching GARCH Models. In: ESTE 2023 - Hotel Torres da Cachoeira, 2023. Available in: <https://doity.com.br/anais/este-2023/trabalho/293192>. Available in: 19/12/2024 at 04:01