Forecasting risk measures based on structural breaks in the correlation matrix
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DOI: 10.4419/96973106
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More about this item
Keywords
structural break tests; correlation model; value-at-risk; expected shortfall;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2022-05-16 (Econometric Time Series)
- NEP-FOR-2022-05-16 (Forecasting)
- NEP-RMG-2022-05-16 (Risk Management)
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