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Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market
Sobreira, Nuno; Louro, Rui - In: Finance research letters 32 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012430745
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Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David; Bluteau, Keven; Rüede, Maxime - In: Finance research letters 29 (2019), pp. 266-271
Persistent link: https://www.econbiz.de/10012419095
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Backtesting VaR under the COVID-19 sudden changes in volatility
Castillo, Brenda; León, Ángel; Ñíguez, Trino-Manuel - In: Finance research letters 43 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10014633484
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Estimating the expected shortfall of cryptocurrencies : an evaluation based on backtesting
Acereda, Beatriz; León Valle, Ángel Manuel; Mora, Juan - In: Finance research letters 33 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012430835
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Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?
Jiménez, Inés; Mora-Valencia, Andrés; Perote, Javier - In: Finance research letters 49 (2022), pp. 1-6
Persistent link: https://www.econbiz.de/10013478838
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Forecasting and backtesting systemic risk in the cryptocurrency market
Fang, Sheng; Cao, Guangxi; Egan, Paul - In: Finance research letters 54 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014472755
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Risk quantification and validation for green energy markets : new insight from a credibility theory approach
Syuhada, Khreshna; Hakim, Arief - In: Finance research letters 62 (2024) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10014530904
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Value-at-risk estimation with stochastic interest rate models for option-bond portfolios
Wang, Xiaoyu; Xie, Dejun; Jiang, Jingjing; Wu, Xiaoxia; … - In: Finance research letters 21 (2017), pp. 10-20
Persistent link: https://www.econbiz.de/10011807256
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The performance of the switching forecast model of value-at-risk in the Asian stock markets
Chiu, Yen-Chen; Chuang, I-Yuan - In: Finance research letters 18 (2016), pp. 43-51
Persistent link: https://www.econbiz.de/10011656521
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Contagion effect on bond portfolio risk measures in a hybrid credit risk model
Boudreault, Mathieu; Gauthier, Geneviève; Thomassin, Tommy - In: Finance research letters 11 (2014) 2, pp. 131-139
Persistent link: https://www.econbiz.de/10010441202