SSRNEconometrics & Forecasting
Iterated Combination Method for Risk Measure Forecasts
The study introduces an innovative technique, iterative combination, for forecasting Value-at-Risk and Expected Shortfall, proving it to be more effective than traditional methods.
Featured in No. 79 on 18 Dec 2024 · 2 days after release · 0 citations today
- Released
- 16 Dec 2024
- First featured
- No. 79 · 18 Dec 2024
- Citations (Semantic Scholar)
- 0
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 10
- Identifier
- SSRN 5059002
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