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Forecasting VaR using analytic higher moments for GARCH processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45
Persistent link: https://www.econbiz.de/10010460001
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Multiple hypothesis testing of market risk forecasting models
Esposito, Francesco P.; Cummins, Mark - In: Journal of forecasting 35 (2016) 5, pp. 381-399
Persistent link: https://www.econbiz.de/10011580778
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Backtesting expected shortfall : evidence from European securitized real estate
Almudhaf, Fahad - In: Applied economics letters 25 (2018) 3, pp. 176-182
Persistent link: https://www.econbiz.de/10011853830
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Backtesting VaR and ES under the magnifying glass
Argyropoulos, Christos; Panopulu, Aikaterinē - In: International review of financial analysis 64 (2019), pp. 22-37
Persistent link: https://www.econbiz.de/10012208280
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VaR and ES forecasting via recurrent neural network-based stateful models
Qiu, Zhiguo; Lazar, Emese; Nakata, Keiichi - In: International review of financial analysis 92 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014492387
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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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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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Systematic risk and time scales : new evidence from an application of wavelet approach to the emerging Gulf stock markets
Masih, Mansur; Alzahrani, Mohammed; Al-Titi, Omar - In: International review of financial analysis 19 (2010) 1, pp. 10-18
Persistent link: https://www.econbiz.de/10008668735
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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