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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

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

Density and Risk Prediction with Non-Gaussian COMFORT Models

Paolella, Marc S.; Polak, Pawel - 2022

The CCC-GARCH model, and its dynamic correlation extensions, form the most important model class for multivariate asset returns. For multivariate density and portfolio risk forecasting, a drawback of these models is the underlying assumption of Gaussianity. This paper considers the so-called...

Persistent link: https://www.econbiz.de/10014236254

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 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

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

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