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• W2896067967 abstract "Abstract We perform a large-scale empirical study in order to compare the forecasting performances of single-regime and Markov-switching GARCH ( MSGARCH ) models from a risk management perspective. We find that MSGARCH models yield more accurate Value-at-Risk, expected shortfall, and left-tail distribution forecasts than their single-regime counterparts for daily, weekly, and ten-day equity log-returns. Also, our results indicate that accounting for parameter uncertainty improves the left-tail predictions, independently of the inclusion of the Markov-switching mechanism." @default.
• W2896067967 created "2018-10-26" @default.
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• W2896067967 date "2018-10-01" @default.
• W2896067967 modified "2023-10-16" @default.
• W2896067967 title "Forecasting risk with Markov-switching GARCH models:A large-scale performance study" @default.
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• W2896067967 doi "https://doi.org/10.1016/j.ijforecast.2018.05.004" @default.
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