Generalized Approach for Estimatingand Forecasting of Dynamical VaRand CVaR Based on Metalog Distribution.

Vira Zrazhevska Grigoriy Zrazhevsky

Published in: ISDMCI (2020)

Keyphrases

nonparametric estimation
short term
probability distribution
long term
multiscale
data distribution
prediction model
portfolio selection
autoregressive model
risk measures