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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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A vector heterogeneous autoregressive index model for realized volatility measures
Cubadda, Gianluca; Guardabascio, Barbara; Hecq, Alain W. J. - In: International journal of forecasting 33 (2017) 2, pp. 337-344
Persistent link: https://www.econbiz.de/10011921023
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Forecasting with VAR models : fat tails and stochastic volatility
Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pintér, Gábor - In: International journal of forecasting 33 (2017) 4, pp. 1124-1143
Persistent link: https://www.econbiz.de/10011746951
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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