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Modelling and forecasting long memory in exchange rate volatility vs. stable and integrated GARCH models

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The power of weather : some empirical evidence on predicting day-ahead power prices through weather forecasts

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Sampling properties of criteria for evaluating GARCH volatility forecasts

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Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models

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Stock index returns' density prediction using GARCH models : frequentist or Bayesian estimation?

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Forecasting volatility in the financial markets : a comparison of alternative distributional assumptions

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Forecasting accuracy of stochastic volatility, GARCH and EWMA models under different volatility scenarios

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Choosing expected shortfall over VaR in Basel III using stochastic dominance

Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015

Bank risk managers follow the Basel Committee on Banking Supervision (BCBS) recommendations that recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The Basel Committee on Banking Supervision (2013, p. 3) noted that: "a number of...

Persistent link: https://www.econbiz.de/10011431395