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On forecasting daily stock volatility : the role of intraday information and market conditions
Fuertes, Ana María; Izzeldin, Marwan; Kalotychou, Elena - In: International journal of forecasting 25 (2009) 2, pp. 259-281
Persistent link: https://www.econbiz.de/10003870053
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Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures
Gerlach, Richard; Wang, Chao - In: International journal of forecasting 36 (2020) 2, pp. 489-506
Persistent link: https://www.econbiz.de/10012415185
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Nonparametric expected shortfall forecasting incorporating weighted quantiles
Storti, Giuseppe; Wang, Chao - In: International journal of forecasting 38 (2022) 1, pp. 224-239
Persistent link: https://www.econbiz.de/10013347785
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Ranking the predictive performances of Value-at-Risk estimation methods
Şener, Emrah; Baronyan, Sayad; Mengütürk, Levent Ali - In: International journal of forecasting 28 (2012) 4, pp. 849-873
Persistent link: https://www.econbiz.de/10009658302
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Quantile forecast optimal combination to enhance safety stock estimation
Trapero, Juan R.; Cardós, Manuel; Kourentzes, Nikolaos - In: International journal of forecasting 35 (2019) 1, pp. 239-250
Persistent link: https://www.econbiz.de/10012300607
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Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
Lucas, André; Zhang, Xin - In: International journal of forecasting 32 (2016) 2, pp. 293-302
Persistent link: https://www.econbiz.de/10011596763
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An approximate long-memory range-based approach for value at risk estimation
Meng, Xiaochun; Taylor, James W. - In: International journal of forecasting 34 (2018) 3, pp. 377-388
Persistent link: https://www.econbiz.de/10012030985
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Non-Gaussian models for CoVaR estimation
Bianchi, Michele Leonardo; De Luca, Giovanni; … - In: International journal of forecasting 39 (2023) 1, pp. 391-404
Persistent link: https://www.econbiz.de/10014462788
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Errors, robustness, and the fourth quadrant
Taleb, Nassim Nicholas - In: International journal of forecasting 25 (2009) 4, pp. 744-759
Persistent link: https://www.econbiz.de/10003921416
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Shrinkage estimation of semiparametric multiplicative error models
Brownlees, Christian; Gallo, Giampiero M. - In: International journal of forecasting 27 (2011) 2, pp. 365-378
Persistent link: https://www.econbiz.de/10009247496