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~subject:"Statistical distribution"
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TWO-COMPONENT EXTREME VALUE DI...
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ARCH model
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Applied economics letters
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Insurance / Mathematics & economics
84
Journal of banking & finance
63
Energy economics
42
International journal of forecasting
40
Journal of risk
39
Economic modelling
38
Risks : open access journal
35
The North American journal of economics and finance : a journal of financial economics studies
35
International review of financial analysis
34
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34
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Econometric Institute research papers
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1
Measuring systemic risk via GAS models and extreme value theory : revisiting the 2007 financial crisis
Gavronski, Pedro Gerhardt
;
Ziegelmann, Flavio A.
- In:
Finance research letters
38
(
2021
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012490211
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2
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
Saved in:
3
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:
4
Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David
;
Bluteau, Keven
;
Rüede, Maxime
- In:
Finance research letters
29
(
2019
),
pp. 266-271
Persistent link: https://www.econbiz.de/10012419095
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5
The performance of the switching forecast model of value-at-risk in the Asian stock markets
Chiu, Yen-Chen
;
Chuang, I-Yuan
- In:
Finance research letters
18
(
2016
),
pp. 43-51
Persistent link: https://www.econbiz.de/10011656521
Saved in:
6
Backtesting VaR under the COVID-19 sudden changes in volatility
Castillo, Brenda
;
León, Ángel
;
Ñíguez, Trino-Manuel
- In:
Finance research letters
43
(
2021
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014633484
Saved in:
7
More to cryptos than bitcoin : a GARCH modelling of heterogeneous cryptocurrencies
Fung, Kennard
;
Jeong, Jiin
;
Pereira, Javier
- In:
Finance research letters
47
(
2022
)
1
,
pp. 1-12
Persistent link: https://www.econbiz.de/10013457293
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8
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:
9
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:
10
Forecasting value-at-risk with a parsimonious Portfolio Spillover GARCH (PS-GARCH) model
McAleer, Michael
;
Da Veiga, Bernardo
- In:
Journal of forecasting
27
(
2008
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10003738381
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