Non-Gaussian models for CoVaR estimation-Reference-Cited by-同舟云学术

Non-Gaussian models for CoVaR estimation

Published:2023-01 Issue:1 Volume:39 Page:391-404
ISSN:0169-2070
Container-title:International Journal of Forecasting
language:en
Short-container-title:International Journal of Forecasting

Author:

Bianchi Michele Leonardo^ORCID,De Luca Giovanni^ORCID,Rivieccio Giorgia^ORCID

Publisher

Elsevier BV

Subject

Business and International Management

Reference37 articles.

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3. Evaluation of volatility predictions in a VaR framework;Amendola;Quantitative Finance,2016

4. Backtesting marginal expected shortfall and related systemic risk measures;Banulescu;Management Science,2021

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