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Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro; Grønneberg, Steffen - In: Journal of financial econometrics 20 (2022) 2, pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
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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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Extreme conditional tail moment estimation under serial dependence
Hoga, Yannick - In: Journal of financial econometrics 17 (2019) 4, pp. 587-615
Persistent link: https://www.econbiz.de/10012152234
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Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi; Lu, Jin; Pelletier, Denis - In: Journal of financial econometrics 19 (2021) 1, pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
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Improving value-at-risk prediction under model uncertainty
Peng, Shige; Yang, Shuzhen; Yao, Jianfeng - In: Journal of financial econometrics 21 (2023) 1, pp. 228-259
Persistent link: https://www.econbiz.de/10013542865
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Multilevel and tail risk management
Khalaf, Lynda; Leccadito, Arturo; Urga, Giovanni - In: Journal of financial econometrics 20 (2022) 5, pp. 839-874
Persistent link: https://www.econbiz.de/10013460029
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Backtesting value-at-risk and expected shortfall in the presence of estimation error
Barendse, Sander; Kole, Erik; Dijk, Dick van - In: Journal of financial econometrics 21 (2023) 2, pp. 528-568
Persistent link: https://www.econbiz.de/10014314760
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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