Forecasting Value at Risk and Expected Shortfall based on serial pair-copula constructions.
Marcelo Brutti RighiPaulo Sergio CerettaPublished in: Expert Syst. Appl. (2015)
Keyphrases
- early warning
- dependence structure
- risk neutral
- pairwise
- short term
- risk assessment
- risk management
- high risk
- decision making
- investment decisions
- risk factors
- opportunity cost
- risk measures
- risk averse
- medium term
- minimum risk
- financial time series
- forecasting model
- monte carlo simulation
- density estimation
- prediction model
- artificial neural networks
- similarity measure