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Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling
Hoogerheide, Lennart; Dijk, Herman K. van - In: International journal of forecasting 26 (2010) 2, pp. 231-247
Persistent link: https://www.econbiz.de/10003980297
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On the statistical differences between binary forecasts and real-world payoffs
Taleb, Nassim Nicholas - In: International journal of forecasting 36 (2020) 4, pp. 1228-1240
Persistent link: https://www.econbiz.de/10012546083
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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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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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Predicting loss given default in leasing : a closer look at models and variable selection
Kaposty, Florian; Kriebel, Johannes Maximilian; … - In: International journal of forecasting 36 (2020) 2, pp. 248-266
Persistent link: https://www.econbiz.de/10012414715
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Forecast combinations for value at risk and expected shortfall
Taylor, James W. - In: International journal of forecasting 36 (2020) 2, pp. 428-441
Persistent link: https://www.econbiz.de/10012415069
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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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Frontiers in VaR forecasting and backtesting
Nieto, Maria Rosa; Ruiz, Esther - In: International journal of forecasting 32 (2016) 2, pp. 474-501
Persistent link: https://www.econbiz.de/10011597163
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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