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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

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

Density and Risk Prediction with Non-Gaussian COMFORT Models

Paolella, Marc S.; Polak, Pawel - 2022

The CCC-GARCH model, and its dynamic correlation extensions, form the most important model class for multivariate asset returns. For multivariate density and portfolio risk forecasting, a drawback of these models is the underlying assumption of Gaussianity. This paper considers the so-called...

Persistent link: https://www.econbiz.de/10014236254

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

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

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

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

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

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

Dependence of defaults and recoveries in structural credit risk models

Schäfer, Rudi; Koivusalo, Alexander F. R. - In: Economic modelling 30 (2013), pp. 1-9

Persistent link: https://www.econbiz.de/10009702275