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TWO-COMPONENT EXTREME VALUE DI...
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Capital income
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Journal of forecasting
Insurance / Mathematics & economics
81
Journal of banking & finance
55
Finance research letters
51
International review of financial analysis
40
Risks : open access journal
32
The North American journal of economics and finance : a journal of financial economics studies
32
International journal of forecasting
30
Journal of risk
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Discussion paper / Tinbergen Institute
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Energy economics
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Economic modelling
25
Journal of econometrics
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Applied economics
22
Quantitative finance
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Journal of empirical finance
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The journal of operational risk
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International review of economics & finance : IREF
18
Journal of risk and financial management : JRFM
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Research in international business and finance
18
Journal of financial econometrics
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SFB 649 discussion paper
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The journal of risk model validation
17
European journal of operational research : EJOR
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Pacific-Basin finance journal
16
Applied economics letters
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The European journal of finance
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Computational economics
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Journal of international financial markets, institutions & money
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Scandinavian actuarial journal
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Astin bulletin : the journal of the International Actuarial Association
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Journal of economic dynamics & control
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Journal of financial stability
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
Dynamic density forecasts for multivariate asset returns
Polanski, Arnold
;
Stoja, Evarist
- In:
Journal of forecasting
30
(
2011
)
6
,
pp. 523-540
Persistent link: https://www.econbiz.de/10009354712
Saved in:
8
Forecasting based on decomposed financial return series : a wavelet analysis
Berger, Theo
- In:
Journal of forecasting
35
(
2016
)
5
,
pp. 419-433
Persistent link: https://www.econbiz.de/10011580976
Saved in:
9
A new model for forecasting VaR and ES using intraday returns aggregation
Song, Shijia
;
Li, Handong
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1039-1054
Persistent link: https://www.econbiz.de/10014338800
Saved in:
10
Forecasting VaR and ES in emerging markets : the role of time-varying higher moments
Trung Hai Le
- In:
Journal of forecasting
43
(
2024
)
2
,
pp. 402-414
Persistent link: https://www.econbiz.de/10014475347
Saved in:
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