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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 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
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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
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Exponentially smoothing the skewed laplace distribution for value-at-risk forecasting
Gerlach, Richard; Lu, Zu-di; Huang, Hai - In: Journal of forecasting 32 (2013) 6, pp. 534-550
Persistent link: https://www.econbiz.de/10009789677
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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
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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
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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
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Marginal or copula : which one is critical?
Choi, Pilsun; Min, Insik - In: Applied economics letters 20 (2013) 16/18, pp. 1462-1465
Persistent link: https://www.econbiz.de/10010213173