VaR and ES Forecasting in Large Portfolios: A Dynamic Factor Model Approach
A Dynamic Factor Model Approach: The article introduces two superior methods for predicting and estimating Value-at-Risk (VaR) and Expected Shortfall (ES) in large portfolios.
Featured in No. 7 on 12 Jul 2023 · on release day
- Released
- 12 Jul 2023
- First featured
- No. 7 · 12 Jul 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 19
- Identifier
- RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15
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