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Forecasting VaR using analytic higher moments for GARCH processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45
Persistent link: https://www.econbiz.de/10010460001
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Forecasting option smile dynamics
Le, Van; Zurbruegg, Ralf - In: International review of financial analysis 35 (2014), pp. 32-45
Persistent link: https://www.econbiz.de/10010529632
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Evaluation of volatility forecasts in an economic value framework
Elder, Adam; Gannon, Gerard - In: International review of financial analysis 7 (1998) 3, pp. 221-236
Persistent link: https://www.econbiz.de/10001356596
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Test of recent advances in extracting information from option prices
Healy, J. V.; Gregoriou, Andros; Hudson, Robert - In: International review of financial analysis 56 (2018), pp. 292-302
Persistent link: https://www.econbiz.de/10012006295
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Predicting international equity returns: evidence from time-varying parameter vector autoregressive models
Gupta, Rangan; Huber, Florian; Piribauer, Philipp - In: International review of financial analysis 68 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012300967
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Backtesting VaR and ES under the magnifying glass
Argyropoulos, Christos; Panopulu, Aikaterinē - In: International review of financial analysis 64 (2019), pp. 22-37
Persistent link: https://www.econbiz.de/10012208280
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An empirical investigation of multiperiod tail risk forecasting models
Zhang, Ning; Su, Xiaoman; Qi, Shuyuan - In: International review of financial analysis 86 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014248332
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VaR and ES forecasting via recurrent neural network-based stateful models
Qiu, Zhiguo; Lazar, Emese; Nakata, Keiichi - In: International review of financial analysis 92 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014492387
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The distribution of realized variances : marginal behaviors, asymmetric dependence and contagion effects
Ané, Thierry; Métais, Carole - In: International review of financial analysis 18 (2009) 3, pp. 134-150
Persistent link: https://www.econbiz.de/10003880027
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Non-extensive properties, multifractality, and inefficiency degree of the Athens Stock Exchange General Index
Stavroyiannis, S.; Makris, I.; Nikolaidis, V. - In: International review of financial analysis 19 (2010) 1, pp. 19-24
Persistent link: https://www.econbiz.de/10008668732