Macroeconomic uncertainty and expected shortfall (and value at risk): a new dynamic semiparametric model-Reference-Cited by-同舟云学术

Macroeconomic uncertainty and expected shortfall (and value at risk): a new dynamic semiparametric model

Published:2021-06-21 Issue:11 Volume:21 Page:1791-1805
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Pan Zhiyuan¹,Wang Yudong²,Liu Li³

Affiliation:

1. Institute of Chinese Financial Studies, Southwestern University of Finance and Economics, Collaborative Innovation Center of Financial Security, Liutai Avenue 555, Wenjiang District, Chengdu 611130, People's Republic of China

2. School of Economics and Management, Nanjing University of Science and Technology, Xiaolingwei 200, Xuanwu District, Nanjing 210094, People's Republic of China

3. School of Finance, Nanjing Audit University, West Yushan Road 86, Pukou District, Nanjing 211815, People's Republic of China

Funder

Chinese National Science Foundation

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1862418

Reference34 articles.

1. Coherent Measures of Risk

2. Measuring Economic Policy Uncertainty*

3. Generalized autoregressive conditional heteroskedasticity

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