Does the tail risk index matter in forecasting downside risk?
Year of publication: |
2023
|
---|---|
Authors: | Hung, Jui-Cheng ; Liu, Hung-Chun ; Yang, J. Jimmy |
Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 28.2023, 3, p. 3451-3466
|
Subject: | downside risk | realized GARCH | SKEW | VaR | VVIX | Risikomaß | Risk measure | Risiko | Risk | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Schätzung | Estimation | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | VAR-Modell | VAR model | Kapitaleinkommen | Capital income | Volatilität | Volatility | Risikomanagement | Risk management |
-
Riedel, Christoph, (2015)
-
Forecasting market risk of portfolios: copula-Markov switching multifractal approach
Segnon, Mawuli, (2018)
-
On equity risk prediction and tail spillovers
Pouliasis, Panos, (2017)
- More ...
-
Trading activity and price discovery in Bitcoin futures markets
Hung, Jui-Cheng, (2021)
-
The Economic Value of Bitcoin : A Volatility Timing Perspective with Portfolio Rebalancing
Hung, Jui-Cheng, (2022)
-
Estimation of value-at-risk for energy commodities via fat-tailed GARCH models
Hung, Jui-cheng, (2008)
- More ...