Macroeconomic uncertainty and expected shortfall (and value at risk): a new dynamic semiparametric model

Zhiyuan Pan, Yudong Wang and Li Liu

Quantitative Finance, 2021, vol. 21, issue 11, 1791-1805

Abstract: Macroeconomic uncertainty variables have significant effects on long term components of stock price volatility and can be used to improve VaR and ES prediction for a given stock

Date: 2021
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DOI: 10.1080/14697688.2020.1862418

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