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Observation-driven models for realized variances and overnight returns applied to value-at-risk and expected shortfall forecasting
Opschoor, Anne; Lucas, André - In: International journal of forecasting 37 (2021) 2, pp. 622-633
Persistent link: https://www.econbiz.de/10012792858
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Time-varying variance and skewness in realized volatility measures
Opschoor, Anne; Lucas, André - In: International journal of forecasting 39 (2023) 2, pp. 827-840
Persistent link: https://www.econbiz.de/10014465151
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Projected Dynamic Conditional Correlations
Llorens-Terrazas, Jordi; Brownlees, Christian - In: International journal of forecasting 39 (2023) 4, pp. 1761-1776
Persistent link: https://www.econbiz.de/10014465352