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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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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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Bayesian doubly adaptive elastic-net Lasso for VAR shrinkage
Gefang, Deborah - In: International journal of forecasting 30 (2013) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10010243650
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Forecasting U.S. money growth using economic uncertainty measures and regularisation techniques
Tarassow, Artur - In: International journal of forecasting 35 (2019) 2, pp. 443-457
Persistent link: https://www.econbiz.de/10012300681
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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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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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Tales from tails : on the empirical distributions of forecasting errors and their implication to risk
Spiliotis, Evangelos; Nikolopoulos, Konstantinos; … - In: International journal of forecasting 35 (2019) 2, pp. 687-698
Persistent link: https://www.econbiz.de/10012300716
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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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Daily growth at risk : financial or real drivers? : the answer is not always the same
Chuliá, Helena; Garron, Ignacio; Uribe, Jorge - In: International journal of forecasting 40 (2024) 2, pp. 762-776
Persistent link: https://www.econbiz.de/10014547204
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On single point forecasts for fat-tailed variables
Taleb, Nassim Nicholas; Bar-Yam, Yaneer; Cirillo, Pasquale - In: International journal of forecasting 38 (2022) 2, pp. 413-422
Persistent link: https://www.econbiz.de/10013348601