Narrow search
Showing 1 - 10 of 44
Cover Image
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
Cover Image
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
Cover Image
Value-at-risk and extreme value distributions for financial returns
Tolikas, Konstantinos - In: Journal of risk 10 (2007/08) 3, pp. 31-77
Persistent link: https://www.econbiz.de/10003698908
Cover Image
Accounting for nonnormality in liquidity risk
Ernst, Cornelia; Stange, Sebastian; Kaserer, Christoph - In: Journal of risk 14 (2011/12) 3, pp. 3-21
Persistent link: https://www.econbiz.de/10009531011
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Approximating the multivariate distribution of time-aggregated stock returns under GARCH
Simonato, Jean-Guy - In: Journal of risk 16 (2013) 2, pp. 25-49
Persistent link: https://www.econbiz.de/10010237931
Cover Image
Exponentially smoothing the skewed laplace distribution for value-at-risk forecasting
Gerlach, Richard; Lu, Zu-di; Huang, Hai - In: Journal of forecasting 32 (2013) 6, pp. 534-550
Persistent link: https://www.econbiz.de/10009789677
Cover Image
On optimal smoothing of density estimators obtained from orthogonal polynomial expansion methods
Marumo, Kohei; Wolff, Rodney C. - In: Journal of risk 18 (2015/2016) 3, pp. 47-76
Persistent link: https://www.econbiz.de/10011439101