Forecasting Expected Shortfall: What is the Best Approach?

When forecasting the market risk of stock portfolios, is a univariate or a multivariate modeling approach more effective? Alain-Philippe Fortin, Jean-Guy Simonato and Georges Dionne examine this question in the context of forecasting the one-week-ahead expected shortfall for a portfolio equally invested in the Fama-French and momentum factors.

November 29, 2021

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