FARVaR: Functional Autoregressive Value-at-Risk : FARVaR

Shin, Yongcheol, Kim, Minjoo, Cai, Charlie et al. (1 more author) (2018) FARVaR: Functional Autoregressive Value-at-Risk : FARVaR. Journal of Financial Econometrics. ISSN 1479-8409

Abstract

Metadata

Authors/Creators:
  • Shin, Yongcheol (yongcheol.shin@york.ac.uk)
  • Kim, Minjoo
  • Cai, Charlie
  • Chang, Qi
Copyright, Publisher and Additional Information: © The Authors, 2018. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details.
Keywords: Density Forecasts,Market Risk Management,Functional Autoregressive Model
Dates:
  • Accepted: 18 October 2018
  • Published (online): 30 November 2018
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York)
Depositing User: Pure (York)
Date Deposited: 26 Nov 2018 11:10
Last Modified: 14 Nov 2019 12:38
Published Version: https://doi.org/10.1093/jjfinec/nby031
Status: Published online
Refereed: Yes
Identification Number: https://doi.org/10.1093/jjfinec/nby031

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Embargoed until: 30 November 2020

Filename: Cai_Kim_Shin_Zhang_JFEC_2018.pdf

Description: Cai Kim Shin Zhang JFEC 2018

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