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Forecasting intraday volatility and VaR using multiplicative component GARCH model
Diao, Xundi; Tong, Bin - In: Applied economics letters 22 (2015) 16/18, pp. 1457-1464
Persistent link: https://www.econbiz.de/10011380317
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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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Worldwide equity risk prediction
Ardia, David; Hoogerheide, Lennart F. - In: Applied economics letters 20 (2013) 13/15, pp. 1333-1339
Persistent link: https://www.econbiz.de/10010202894
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Energy portfolio risk management using time-varying extreme value copula methods
Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: Economic modelling 38 (2014), pp. 470-485
Persistent link: https://www.econbiz.de/10010419011
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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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Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model
Zhang, Heng-Guo; Su, Chi-Wei; Song, Yan; Qiu, Shuqi; … - In: Economic modelling 67 (2017), pp. 355-367
Persistent link: https://www.econbiz.de/10011813839
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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