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Forecasting Tail Risk Measures for Financial Time Series: An Extreme Value Approach With Covariates. / James, Robert; Leung, Henry; Wai Yin Leung, Jessica; Прохоров, Артем Борисович.

2021.

Research output: Working paper

Harvard

James, R, Leung, H, Wai Yin Leung, J & Прохоров, АБ 2021 'Forecasting Tail Risk Measures for Financial Time Series: An Extreme Value Approach With Covariates'. https://doi.org/10.2139/ssrn.3891909

APA

James, R., Leung, H., Wai Yin Leung, J., & Прохоров, А. Б. (2021). Forecasting Tail Risk Measures for Financial Time Series: An Extreme Value Approach With Covariates. https://doi.org/10.2139/ssrn.3891909

Vancouver

James R, Leung H, Wai Yin Leung J, Прохоров АБ. Forecasting Tail Risk Measures for Financial Time Series: An Extreme Value Approach With Covariates. 2021. https://doi.org/10.2139/ssrn.3891909

Author

James, Robert ; Leung, Henry ; Wai Yin Leung, Jessica ; Прохоров, Артем Борисович. / Forecasting Tail Risk Measures for Financial Time Series: An Extreme Value Approach With Covariates. 2021.

BibTeX

@techreport{b237ee49ddbf4ecc83cdd23e36a8fd2b,
title = "Forecasting Tail Risk Measures for Financial Time Series: An Extreme Value Approach With Covariates",
author = "Robert James and Henry Leung and {Wai Yin Leung}, Jessica and Прохоров, {Артем Борисович}",
year = "2021",
doi = "10.2139/ssrn.3891909",
language = "English",
type = "WorkingPaper",

}

RIS

TY - UNPB

T1 - Forecasting Tail Risk Measures for Financial Time Series: An Extreme Value Approach With Covariates

AU - James, Robert

AU - Leung, Henry

AU - Wai Yin Leung, Jessica

AU - Прохоров, Артем Борисович

PY - 2021

Y1 - 2021

U2 - 10.2139/ssrn.3891909

DO - 10.2139/ssrn.3891909

M3 - Working paper

BT - Forecasting Tail Risk Measures for Financial Time Series: An Extreme Value Approach With Covariates

ER -

ID: 92207491