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Hierarchical mortality forecasting with EVT tails : an application to solvency capital requirement
Li, Han; Chen, Hua - In: International journal of forecasting 40 (2024) 2, pp. 549-563
Persistent link: https://www.econbiz.de/10014547182
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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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Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
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Comparing density forecasts in a risk management context
Diks, Cees G. H.; Fang, Hao - In: International journal of forecasting 36 (2020) 2, pp. 531-551
Persistent link: https://www.econbiz.de/10012415217
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Portfolio optimization based on GARCH-EVT-Copula forecasting models
Sahamkhadam, Maziar; Stephan, Andreas; Östermark, Ralf - In: International journal of forecasting 34 (2018) 3, pp. 497-506
Persistent link: https://www.econbiz.de/10012031027
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Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda; Herrera, Rodrigo; Clements, Adam - In: International journal of forecasting 39 (2023) 2, pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
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Portfolio selection under non-gaussianity and systemic risk : a machine learning based forecasting approach
Lin, Weidong; Taamouti, Abderrahim - In: International journal of forecasting 40 (2024) 3, pp. 1179-1188
Persistent link: https://www.econbiz.de/10014547268
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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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2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns : Out-of-sample comparison of conditional EVT models
Tomlinson, Matthew F.; Greenwood, David; … - In: International journal of forecasting 40 (2024) 1, pp. 324-347
Persistent link: https://www.econbiz.de/10014450274
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Forecasting expected shortfall : should we use a multivariate model for stock market factors?
Fortin, Alain-Philippe; Simonato, Jean-Guy; Dionne, Georges - In: International journal of forecasting 39 (2023) 1, pp. 314-331
Persistent link: https://www.econbiz.de/10014462782