Forecasting Expected Shortfall: Should we use a Multivariate Model for Stock Market Factors?
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- Fortin, Alain-Philippe & Simonato, Jean-Guy & Dionne, Georges, 2023. "Forecasting expected shortfall: Should we use a multivariate model for stock market factors?," International Journal of Forecasting, Elsevier, vol. 39(1), pages 314-331.
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Cited by:
- Federico Gatta & Fabrizio Lillo & Piero Mazzarisi, 2024. "CAESar: Conditional Autoregressive Expected Shortfall," Papers 2407.06619, arXiv.org.
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More about this item
Keywords
Value-at-Risk; Expected Shortfall; Conditional Value-at-Risk; Elicitability; model comparison; backtesting; Fama-French and momentum factors;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- 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
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2018-07-09 (Financial Markets)
- NEP-FOR-2018-07-09 (Forecasting)
- NEP-KNM-2018-07-09 (Knowledge Management and Knowledge Economy)
- NEP-RMG-2018-07-09 (Risk Management)
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