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Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie; Westgaard, Sjur; Gjølberg, Ole - In: The journal of risk model validation 9 (2015) 2, pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
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Value-at-risk time scaling : a Monte Carlo approach
Malataliana, Moepa; Rigotard, Michael - In: The journal of risk model validation 10 (2016) 1, pp. 47-57
Persistent link: https://www.econbiz.de/10011485151
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Unconditional density vs conditional density functions in estimating value-at-risk
Chiu, Yen-Chen; Chuang, I-Yuan - In: Applied economics 53 (2021) 4, pp. 482-494
Persistent link: https://www.econbiz.de/10012416070
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Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China
Wang, Donghua; Ding, Jin; Chu, Guoqing; Xu, Dinghai; … - In: Applied economics 53 (2021) 7, pp. 781-804
Persistent link: https://www.econbiz.de/10012416088
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Event-study analysis by using dynamic conditional score models
Blazsek, Szabolcs; Monteros, Luis Antonio - In: Applied economics 49 (2017) 45, pp. 4530-4541
Persistent link: https://www.econbiz.de/10011844230
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A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao; Gerlach, Richard - In: Journal of forecasting 43 (2024) 1, pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
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Modeling uncertainty in financial tail risk : a forecast combination and weighted quantile approach
Storti, Giuseppe; Wang, Chao - In: Journal of forecasting 42 (2023) 7, pp. 1648-1663
Persistent link: https://www.econbiz.de/10014432743
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Commodity market risk from 1995 to 2013 : an extreme value theory approach
Fretheim, Torun; Kristiansen, Glenn - In: Applied economics 47 (2015) 25/27, pp. 2768-2782
Persistent link: https://www.econbiz.de/10010519613
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Forecasting VaR models under different volatility processes and distributions of return innovations
Dendramis, Yiannis; Spungin, Giles E.; Tzavalis, Elias - In: Journal of forecasting 33 (2014) 7, pp. 515-531
Persistent link: https://www.econbiz.de/10011282095
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Extreme value analysis of electricity demand in the UK
Chan, Stephen; Nadarajah, Saralees - In: Applied economics letters 22 (2015) 13/15, pp. 1246-1251
Persistent link: https://www.econbiz.de/10011312714