Similar Search Results

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

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

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

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

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

Forecasting value-at-risk with a parsimonious Portfolio Spillover GARCH (PS-GARCH) model

McAleer, Michael; Da Veiga, Bernardo - In: Journal of forecasting 27 (2008) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10003738381

Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model : an empirical study on foreign exchange rates

Hsu Ku, Yuan-Hung; Wang, Jai Jen - In: Applied economics letters 15 (2008) 7/9, pp. 533-538

Persistent link: https://www.econbiz.de/10003741298

Volatility forecasting with double Markov switching GARCH models

Chen, Cathy W. S.; So, Mike Ka-pui; Lin, Edward M. H. - In: Journal of forecasting 28 (2009) 8, pp. 681-697

Persistent link: https://www.econbiz.de/10003918204

Robust value at risk prediction

Mancini, Loriano (contributor); Trojani, Fabio (contributor) - 2007

Persistent link: https://www.econbiz.de/10003550862

CHICAGO: a fast and accurate method for portfolio risk calculation

Broda, Simon A.; Paolella, Marc S. - 2008

The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This manuscript shows how Independent Component Analysis can be used to estimate the Generalized Orthogonal GARCH model in a fraction of the time otherwise required. The proposed method...

Persistent link: https://www.econbiz.de/10003961455