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Adaptive forecasting of the EURIBOR swap term structure
Blaskowitz, Oliver; Herwartz, Helmut - In: Journal of forecasting 28 (2009) 7, pp. 575-594
Persistent link: https://www.econbiz.de/10003902215
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Forecasting interest rate swap spreads using domestic and international risk factors : evidence from linear and non-linear models
Lekkos, Ilias; Milas, Costas; Panagiōtidēs, Theodōros - In: Journal of forecasting 26 (2007) 8, pp. 601-619
Persistent link: https://www.econbiz.de/10003608157
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Semiparametric estimation of expected shortfall and its application in finance
Fang, Yan; Li, Jian; Liu, Yinglin; Zhao, Yunfan - In: Journal of forecasting 42 (2023) 4, pp. 835-851
Persistent link: https://www.econbiz.de/10014292830
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Forecasting value-at-risk with a parsimonious Portfolio Spillover GARCH (PS-GARCH) model
McAleer, Michael; Da Veiga, Bernardo - In: Journal of forecasting 27 (2008) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10003738381
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Single-index and portfolio models for forecasting value-at-risk thresholds
McAleer, Michael; Da Veiga, Bernardo - In: Journal of forecasting 27 (2008) 3, pp. 217-235
Persistent link: https://www.econbiz.de/10003738590
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Evaluating predictive performance of value-at-risk models in emerging markets : a reality check
Bao, Yong; Lee, Tae-hwy; Saltoǧlu, Burak - In: Journal of forecasting 25 (2006) 2, pp. 101-128
Persistent link: https://www.econbiz.de/10003309378
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Risk factor beta conditional value-at-risk
Semenov, Andrei - In: Journal of forecasting 28 (2009) 6, pp. 549-558
Persistent link: https://www.econbiz.de/10003887011
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Measuring downside risk and severity for global output
Wang, Yan; Yao, James Yudong - In: Journal of forecasting 26 (2007) 1, pp. 23-32
Persistent link: https://www.econbiz.de/10003406089
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Volatility forecasting with double Markov switching GARCH models
Chen, Cathy W. S.; So, Mike Ka-pui; Lin, Edward M. H. - In: Journal of forecasting 28 (2009) 8, pp. 681-697
Persistent link: https://www.econbiz.de/10003918204
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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