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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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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 the Value-at-Risk of REITs using realized volatility jump models
Odusami, Babatunde Olatunji - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10013186421
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Moments expansion densities for quantifying financial risk
Ñíguez, Trino-Manuel; Perote, Javier - In: The North American journal of economics and finance : a … 42 (2017), pp. 53-69
Persistent link: https://www.econbiz.de/10011938073
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Forecasting risk measures using intraday and overnight information
Santos, Douglas Gomes dos; Candido, Osvaldo; Tófoli, … - In: The North American journal of economics and finance : a … 60 (2022), pp. 1-25
Persistent link: https://www.econbiz.de/10013449240
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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
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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
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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