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基于DTARCH模型的金融风险测量EVaR基于DTARCH模型

Xiaoqian Liu1, Zhenni Tan1, Yuehua Wu1

  • 1Department of Mathematics and Statistics, York University, Toronto, ON M3J 1P3, Canada.

Entropy (Basel, Switzerland)
|August 26, 2023
PubMed
概括

本研究引入了一种新的金融风险评估方法,使用预期风险价值 (EVaR) 和双门自回归条件异形 (DTARCH) 模型. 拟议的加权复合预测回归 (WCER) 准确地估计了极端的金融风险,即使是未知的参数.

关键词:
双门自回归条件异种类型 (DTARCH) 模型.基于预期的VaR (EVaR)风险测量风险的测量方法权重复合预测回归 (WCER) 估计估计.

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