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Tail risk forecasting of realized volatility CAViaR models
Chen, Cathy W. S.; Hsu, Hsiao-Yun; Watanabe, Toshiaki - In: Finance research letters 51 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014304842
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Idiosyncratic tail risk and expected stock returns : evidence from the Chinese stock markets
Long, Huaigang; Jiang, Yuexiang; Zhu, Yanjian - In: Finance research letters 24 (2018), pp. 129-136
Persistent link: https://www.econbiz.de/10011982519
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Do extreme range estimators improve realized volatility forecasts? : evidence from G7 Stock Markets
Korkusuz, Burak; Kambouroudis, Dimos; McMillan, David G. - In: Finance research letters 55 (2023) 2, pp. 1-7
Persistent link: https://www.econbiz.de/10014473523
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Tail risk in the Chinese stock market : an AEV model on the maximal drawdowns
Feng, Yun; Hou, Weijie; Song, Yuping - In: Finance research letters 58 (2023) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10014581057
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Predicting gold volatility : exploring the impact of extreme risk in the international commodity market
Tang, Yusui; Zhong, Juandan - In: Finance research letters 58 (2023) 2, pp. 1-6
Persistent link: https://www.econbiz.de/10014631292
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A parsimonious quantile regression model to forecast day-ahead value-at-risk
Haugom, Erik; Ray, Rina; Ullrich, Carl J.; Veka, Steinar; … - In: Finance research letters 16 (2016), pp. 196-207
Persistent link: https://www.econbiz.de/10011656176
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Long vs. short term asymmetry in volatility and the term structure of risk
Lönnbark, Carl - In: Finance research letters 23 (2017), pp. 202-209
Persistent link: https://www.econbiz.de/10011808396
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Forecasting VaR using realized EGARCH model with skewness and kurtosis
Wu, Xinyu; Xia, Michelle; Zhang, Huanming - In: Finance research letters 32 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012430736
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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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FTX Collapse and systemic risk spillovers from FTX Token to major cryptocurrencies
Bouri, Elie; Kamal, Elham; Kinateder, Harald - In: Finance research letters 56 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014473652