Forecasting VaR and ES using the joint regression combined forecasting model in the Chinese stock market

DOI Number:10.1108/IJOEM-06-2022-0941

Affiliation of Author(s):管理工程学院

Journal:International Journal of Emerging Markets

Funded by:江苏省社科基金、国家自然科学基金、教育部人文社会科学基金

Key Words:Value at risk, Expected shortfall, Elicitability, Scoring functions, Combining forecast

All the Authors:Sheng Kang,Zhang Zhengjun

First Author:Lu Xunfa

Indexed by:Journal paper

Discipline:Economics

Document Type:J

Volume:19

Issue:10

Page Number:3393-3417

Translation or Not:no

Date of Publication:2024-10-28

Included Journals:SSCI

Publication links:https://www.emeraldgrouppublishing.com/journal/ijoem