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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
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Implied severity density estimation : an extended semiparametric method to compute credit value at risk
Baixauli, J. Samuel; Alvarez, Susana - In: Computational economics 40 (2012) 2, pp. 115-129
Persistent link: https://www.econbiz.de/10009627482
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On the evaluation of marginal expected shortfall
Caporin, Massimiliano; Santucci de Magistris, Paolo - In: Applied economics letters 19 (2012) 1/3, pp. 175-179
Persistent link: https://www.econbiz.de/10009412621
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Exponentially smoothing the skewed laplace distribution for value-at-risk forecasting
Gerlach, Richard; Lu, Zu-di; Huang, Hai - In: Journal of forecasting 32 (2013) 6, pp. 534-550
Persistent link: https://www.econbiz.de/10009789677
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Evaluating the default risk of bond portfolios with extreme value theory
Ma, Yong; Zhang, Zhengjun; Zhang, Weiguo; Xu, Weidong - In: Computational economics 45 (2015) 4, pp. 647-668
Persistent link: https://www.econbiz.de/10011440981