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Macroeconomic uncertainty and expected shortfall (and value at risk): a new dynamic semiparametric model
Quantitative Finance ( IF 1.3 ) Pub Date : 2021-06-21 , DOI: 10.1080/14697688.2020.1862418 Zhiyuan Pan 1 , Yudong Wang 2 , Li Liu 3
中文翻译:
宏观经济不确定性和预期短缺(和风险价值):一种新的动态半参数模型
更新日期:2021-06-21
Quantitative Finance ( IF 1.3 ) Pub Date : 2021-06-21 , DOI: 10.1080/14697688.2020.1862418 Zhiyuan Pan 1 , Yudong Wang 2 , Li Liu 3
Affiliation
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
中文翻译:
宏观经济不确定性和预期短缺(和风险价值):一种新的动态半参数模型
宏观经济不确定性变量对股票价格波动的长期成分有显着影响,可用于改善给定股票的 VaR 和 ES 预测