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Capturing deep tail risk via sequential learning of quantile dynamics · Study

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ArticleCapturing deep tail risk via sequential learning of quantile dynamics

Qi Wu2019

Article2019

Capturing deep tail risk via sequential learning of quantile dynamics

Qi Wu · Yan Xing

18 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Financial Risk and Volatility Modeling Stock Market Forecasting Methods Risk and Portfolio Optimization

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2008Market Liquidity and Funding Liquidity 2001Empirical properties of asset returns: stylized facts and statistical issues 1998Evaluating Interval Forecasts 1995Techniques for Verifying the Accuracy of Risk Measurement Models

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Year2019

Typearticle

Published2019-09-27

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations18

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jedc.2019.103771

openalex_workW2966027283

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