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TWO-COMPONENT EXTREME VALUE DI...
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Applied economics letters
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40
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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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5
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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6
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
Saved in:
7
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
Saved in:
8
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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9
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
Saved in:
10
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
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