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Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie; Westgaard, Sjur; Gjølberg, Ole - In: The journal of risk model validation 9 (2015) 2, pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
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Value-at-risk time scaling : a Monte Carlo approach
Malataliana, Moepa; Rigotard, Michael - In: The journal of risk model validation 10 (2016) 1, pp. 47-57
Persistent link: https://www.econbiz.de/10011485151
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A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao; Gerlach, Richard - In: Journal of forecasting 43 (2024) 1, pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
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Modeling uncertainty in financial tail risk : a forecast combination and weighted quantile approach
Storti, Giuseppe; Wang, Chao - In: Journal of forecasting 42 (2023) 7, pp. 1648-1663
Persistent link: https://www.econbiz.de/10014432743
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Forecasting VaR models under different volatility processes and distributions of return innovations
Dendramis, Yiannis; Spungin, Giles E.; Tzavalis, Elias - In: Journal of forecasting 33 (2014) 7, pp. 515-531
Persistent link: https://www.econbiz.de/10011282095
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Exponentially smoothing the skewed laplace distribution for value-at-risk forecasting
Gerlach, Richard; Lu, Zu-di; Huang, Hai - In: Journal of forecasting 32 (2013) 6, pp. 534-550
Persistent link: https://www.econbiz.de/10009789677
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Conditioned likelihood estimation of nonnormal distributions : risk estimation of credit portfolios in stressed markets
Oteng-Amoako, Kingsley - In: The journal of risk model validation 8 (2014) 3, pp. 3-31
Persistent link: https://www.econbiz.de/10010423915
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Incorporating higher moments into value-at-risk forecasting
Polanski, Arnold; Stoja, Evarist - In: Journal of forecasting 29 (2010) 6, pp. 523-535
Persistent link: https://www.econbiz.de/10008935468
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Conditional density and value-at-risk prediction of Asian currency exchange rates
Mittnik, Stefan; Paolella, Marc S. - In: Journal of forecasting 19 (2000) 4, pp. 313-333
Persistent link: https://www.econbiz.de/10001504659
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Quantifying model risk within a CreditRisk+ framework
Fischer, Matthias; Mertel, Alexander - In: The journal of risk model validation 6 (2012) 1, pp. 47-76
Persistent link: https://www.econbiz.de/10009539312