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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
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Modeling CAC40 volatility using ultra-high frequency data
Degiannakis, Stavros; Floros, Christos - In: Research in international business and finance 28 (2013), pp. 68-81
Persistent link: https://www.econbiz.de/10009725156
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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
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Forecasting value-at-risk of cryptocurrencies with riskmetrics type models
Liu, Wei; Semeyutin, Artur; Lau, Chi Keung; Gozgor, Giray - In: Research in international business and finance 54 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012581358
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Multiscale stock-bond correlation : implications for risk management
Al Rababa'a, Abdel Razzaq; Alomari, Mohammad; McMillan, … - In: Research in international business and finance 58 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10013286286
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True or spurious long memory in European non-EMU currencies
Walther, Thomas; Klein, Tony; Thu, Hien Pham; Piontek, … - In: Research in international business and finance 40 (2017), pp. 217-230
Persistent link: https://www.econbiz.de/10011912762
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Forecasting Value-at-Risk of cryptocurrencies using the time-varying mixture-accelerating generalized autoregressive score model
Jiang, Kunliang; Zeng, Linhui; Song, Jiashan; Liu, Yimeng - In: Research in international business and finance 61 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10014240057
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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