Jointly Forecasting Value-at-Risk and Expected Shortfall with Score-Driven Dynamic Relationships

Author:

Wang Jie,Wang Yongqiao

Publisher

Elsevier BV

Reference44 articles.

1. On the coherence of expected shortfall;C Acerbi;Journal of Banking & Finance,2002

2. Coherent measures of risk;P Artzner;Mathematical Finance,1999

3. High frequency correlation dynamics and day-of-the-week effect: A score-driven approach in an emerging market stock exchange;H Bahcivan;International Review of Financial Analysis,2022

4. The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR;T G Bali;Journal of Banking & Finance,2008

5. Quasi score-driven models;F Blasques;Journal of Econometrics,2023

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