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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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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 risk with Markov-switching GARCH models : a large-scale performance study
Ardia, David; Bluteau, Keven; Boudt, Kris; Catania, Leopoldo - In: International journal of forecasting 34 (2018) 4, pp. 733-747
Persistent link: https://www.econbiz.de/10012031094
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Variational Bayes for assessment of dynamic quantile forecasts
Gerlach, Richard; Abeywardana, Sachin - In: International journal of forecasting 32 (2016) 4, pp. 1385-1402
Persistent link: https://www.econbiz.de/10011622172
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Evaluating the accuracy of value-at-risk forecasts : new multilevel tests
Leccadito, Arturo; Boffelli, Simona; Urga, Giovanni - In: International journal of forecasting 30 (2014) 2, pp. 206-216
Persistent link: https://www.econbiz.de/10010510949
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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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Forecasting systemic impact in financial networks
Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - In: International journal of forecasting 30 (2014) 3, pp. 781-794
Persistent link: https://www.econbiz.de/10010515583
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Dependence in credit default swap and equity markets : dynamic copula with Markov-switching
Fei, Fei; Fuertes, Ana María; Kalotychou, Elena - In: International journal of forecasting 33 (2017) 3, pp. 662-678
Persistent link: https://www.econbiz.de/10011746197
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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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Forecasting multidimensional tail risk at short and long horizons
Polanski, Arnold; Stoja, Evarist - In: International journal of forecasting 33 (2017) 4, pp. 958-969
Persistent link: https://www.econbiz.de/10011746932