Narrow search
Showing 1 - 10 of 26
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
Forecasting based on decomposed financial return series : a wavelet analysis
Berger, Theo - In: Journal of forecasting 35 (2016) 5, pp. 419-433
Persistent link: https://www.econbiz.de/10011580976
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
Risk management under time varying volatility and Pareto-stable distributions
Mozumder, Sharif; Kabir, M. Humayun; Dempsey, Michael; … - In: Applied economics letters 27 (2020) 3, pp. 161-167
Persistent link: https://www.econbiz.de/10012205404
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
Conditional density and value-at-risk prediction of Asian currency exchange rates
Mittnik, Stefan; Paolella, Marc S. - In: Journal of forecasting 19 (2000) 4, pp. 313-333
Persistent link: https://www.econbiz.de/10001504659
Cover Image
A corrected Value-at-Risk predictor
Lönnbark, Carl - In: Applied economics letters 17 (2010) 10/12, pp. 1193-1196
Persistent link: https://www.econbiz.de/10008699136
Cover Image
Incorporating higher moments into value-at-risk forecasting
Polanski, Arnold; Stoja, Evarist - In: Journal of forecasting 29 (2010) 6, pp. 523-535
Persistent link: https://www.econbiz.de/10008935468
Cover Image
Bank insolvency risk and Z-score measures with unimodal returns
Strobel, Frank - In: Applied economics letters 18 (2011) 16/18, pp. 1683-1685
Persistent link: https://www.econbiz.de/10009383375