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The geometric-VaR backtesting method
Pelletier, Denis; Wei, Wei - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 725-745
Persistent link: https://www.econbiz.de/10011623861
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Bayesian expected shortfall forecasting incorporating the intraday range
Gerlach, Richard; Chen, Cathy W. S. - In: Journal of financial econometrics : official journal of … 14 (2016) 1, pp. 128-158
Persistent link: https://www.econbiz.de/10011588546
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Overnight news and daily equity trading risk limits
Ahoniemi, Katja; Fuertes, Ana María; Olmo, Jose - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
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Semi-parametric conditional quantile models for financial returns and realized volatility
Zikes, Filip; Barunik, Jozef - In: Journal of financial econometrics : official journal of … 14 (2016) 1, pp. 185-226
Persistent link: https://www.econbiz.de/10011588557
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Forecasting value-at-risk under temporal and portfolio aggregation
Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 649-677
Persistent link: https://www.econbiz.de/10011987663
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On variable selection for volatility forecasting : the role of focused selection criteria
Brownlees, Christian; Gallo, Giampiero M. - In: Journal of financial econometrics : official journal of … 6 (2008) 4, pp. 513-539
Persistent link: https://www.econbiz.de/10003778985
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Value-at-risk prediction : a comparison of alternative strategies
Kuester, Keith; Mittnik, Stefan; Paolella, Marc S. - In: Journal of financial econometrics : official journal of … 4 (2006) 1, pp. 53-89
Persistent link: https://www.econbiz.de/10003313345
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Measuring event risk
Nyberg, Peter; Wilhelmsson, Anders - In: Journal of financial econometrics : official journal of … 7 (2009) 3, pp. 265-287
Persistent link: https://www.econbiz.de/10003884188
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Chicago: a fast and accurate method for portfolio risk calculation
Broda, Simon A.; Paolella, Marc S. - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 412-436
Persistent link: https://www.econbiz.de/10003907527
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Modeling international financial returns with a multivariate regime-switching copula
Chollete, Lorán; Heinen, Andréas; Valdesogo, Alfonso - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 437-480
Persistent link: https://www.econbiz.de/10003907528