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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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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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How does trading volume affect financial return distributions?
Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 35 (2014), pp. 190-206
Persistent link: https://www.econbiz.de/10010530243
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Value-at-risk for long and short trading positions : evidence from developed and emerging equity markets
Diamandis, Panayotis F.; Drakos, Anastassios A.; … - In: International review of financial analysis 20 (2011) 3, pp. 165-176
Persistent link: https://www.econbiz.de/10009295738
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Econometric modeling and value-at-risk using the Pearson type-IV distribution
Stavroyiannis, S.; Makris, I.; Nikolaidis, V.; … - In: International review of financial analysis 22 (2012), pp. 10-17
Persistent link: https://www.econbiz.de/10010219702
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Modeling diversification and spillovers of loan portfolios' losses by LHP approximation and copula
Lee, Yong Woong; Yang, Kisung - In: International review of financial analysis 66 (2019), pp. 1-14
Persistent link: https://www.econbiz.de/10012208950
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Where is the distribution tail threshold? : a tale on tail and copulas in financial risk measurement
González Sánchez, Mariano; Nave Pineda, Juan M. - In: International review of financial analysis 86 (2023), pp. 1-12
Persistent link: https://www.econbiz.de/10014248319
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Extreme risk spillovers from commodity indexes to sovereign CDS spreads of commodity dependent countries : a VAR quantile analysis
Massaporn Cheuathonghua; DeBoyrie, Maria Eugenia; … - In: International review of financial analysis 80 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013366188