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Results tagged with expected-shortfall
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user 76419
Expected shortfall (a.k.a. expected tail loss or conditional VaR) at $q\%$ level is a risk measure defined as the expected return on the portfolio in the worst $q\%$ of cases.
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How can I apply the GARCH-MIDAS model to the FTSE MIB using the CPU as an explanatory variable?
I would to fix a little stuff in this command: fit_gm_nA <- ugmfit( model = "GM", skew = "NO", distribution = "norm", daily_ret = rendimenti_FTSEMIB_day, mv_m = cpu_mv, K = K, R = 1000, out_of_sample …
