Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation
Year: 2021
Type: article
Source: Journal of Banking & Finance
Authors: Luca Merlo, Lea Petrella, Valentina Raponi
Institutions: Sapienza University of Rome, IESE Business School
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
Funder: Generalitat de Catalunya
Award: G8461804941
OpenAlex ID: W3167828212