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Forecasting volatility with many predictors
Ke, Tsung-han; Hu, Yu-pin - In: Journal of forecasting 32 (2013) 8, pp. 743-754
Persistent link: https://www.econbiz.de/10010344461
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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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Forecasting high-frequency risk measures
Banulescu, Denisa; Colletaz, Gilbert; Hurlin, Christophe; … - In: Journal of forecasting 35 (2016) 3, pp. 224-249
Persistent link: https://www.econbiz.de/10011580273
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A study of value-at-risk based on M-estimators of the conditional heteroscedastic models
Iqbal, Farhat; Mukherjee, Kanchan - In: Journal of forecasting 31 (2012) 5, pp. 377-390
Persistent link: https://www.econbiz.de/10009582118
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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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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
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The role of high-frequency intra-daily data, daily range and implied volatility in multi-period value-at-risk forecasting
Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - In: Journal of forecasting 32 (2013) 6, pp. 561-576
Persistent link: https://www.econbiz.de/10009789559
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Value at risk from econometric models and implied from currency options
Chong, James - In: Journal of forecasting 23 (2004) 8, pp. 603-620
Persistent link: https://www.econbiz.de/10002494622
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Market risk management of banks : implications from the accuracy of value-at-risk forecasts
Wong, Michael C. S.; Cheng, Wai-yan; Wong, Clement Yuk-pang - In: Journal of forecasting 22 (2003) 1, pp. 23-33
Persistent link: https://www.econbiz.de/10001737010