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Testing for Granger causality in distribution tails : an application to oil markets integration
Candelon, Bertrand; Joëts, Marc; Tokpavi, Sessi - In: Economic modelling 31 (2013), pp. 276-285
Persistent link: https://www.econbiz.de/10009729103
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Testing the Gaussian and Student's t copulas in a risk management framework
Lourme, Alexandre; Maurer, Frantz - In: Economic modelling 67 (2017), pp. 203-214
Persistent link: https://www.econbiz.de/10011813813
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Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
Naimoli, Antonio; Gerlach, Richard; Storti, Giuseppe - In: Economic modelling 107 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013367470
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Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi; Liang, Fang; Huang, Zhuo; Yan, Hong - In: Economic modelling 109 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
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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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Importance sampling for calculating the Value-at-Risk and expected shortfall of the quadratic portfolio with t-distributed risk factors
Teng, Huei-Wen - In: Computational economics 62 (2023) 3, pp. 1125-1154
Persistent link: https://www.econbiz.de/10014382887
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Forecasting volatility and value-at-risk for cryptocurrency using GARCH-type models : the role of the probability distribution
Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Applied economics letters 31 (2024) 18, pp. 1907-1914
Persistent link: https://www.econbiz.de/10015084570
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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