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The two-sided Weibull distribution and forecasting financial tail risk
Chen, Qian; Gerlach, Richard H. - In: International journal of forecasting 29 (2013) 4, pp. 541-547
Persistent link: https://www.econbiz.de/10010212495
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Forecasting Bitcoin risk measures : a robust approach
Trucíos, Carlos - In: International journal of forecasting 35 (2019) 3, pp. 836-847
Persistent link: https://www.econbiz.de/10012305182
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Volatility measures and Value-at-Risk
Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten - In: International journal of forecasting 33 (2017) 4, pp. 848-863
Persistent link: https://www.econbiz.de/10011746918
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The modeling and forecasting of extreme events in electricity spot markets
Herrera, Rodrigo; González, Nicolás - In: International journal of forecasting 30 (2014) 3, pp. 477-490
Persistent link: https://www.econbiz.de/10010511552
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The uncertainty in extreme risk forecasts from covariate-augmented volatility models
Hoga, Yannick - In: International journal of forecasting 37 (2021) 2, pp. 675-686
Persistent link: https://www.econbiz.de/10012792861
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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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Forecasting value at risk with intra-day return curves
Rice, Gregory; Wirjanto, Tony S.; Zhao, Yuqian - In: International journal of forecasting 36 (2020) 3, pp. 1023-1038
Persistent link: https://www.econbiz.de/10012497181
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Forecasting risk measures using intraday data in a generalized autoregressive score framework
Lazar, Emese; Xue, Xiaohan - In: International journal of forecasting 36 (2020) 3, pp. 1057-1072
Persistent link: https://www.econbiz.de/10012497719
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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