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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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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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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
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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
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How does trading volume affect financial return distributions?
Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 35 (2014), pp. 190-206
Persistent link: https://www.econbiz.de/10010530243
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On the evaluation of marginal expected shortfall
Caporin, Massimiliano; Santucci de Magistris, Paolo - In: Applied economics letters 19 (2012) 1/3, pp. 175-179
Persistent link: https://www.econbiz.de/10009412621