Forecasting tail risk of skewed financial returns having exponential‐polynomial tails

Aggregated long and short trading risk positions of speculative assets over time are likely to be unequal. This may be because of irrational decisions of traders and investors as well as catastrophic events that lead to pronounce or salient market crashes. Returns of such assets are therefore more l...

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Veröffentlicht in:	Journal of forecasting 2024-11, Vol.43 (7), p.2731-2748
Hauptverfasser:	Antwi, Albert, Gyamfi, Emmanuel N., Adam, Anokye M.
Format:	Artikel
Sprache:	eng
Schlagworte:	Assets Capital Digital currencies Exceptions exponential‐polynomial tails extreme tail risk Forecasting GARCH generalized hyperbolic skew student‐t distribution Skewness Stochastic models Students Value value‐at‐risk Volatility
Online-Zugang:	Volltext
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