A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification

C-Tier

Journal: The Manchester School

Year: 2014

Volume: 82

Issue: 1

Pages: 71-102

Authors (3)

Stavros Degiannakis (Panteion University of Social) Pamela Dent (not in RePEc) Christos Floros (not in RePEc)

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count