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Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets
Wang, Man; Cheng, Yihan - In: Journal of forecasting 41 (2022) 8, pp. 1595-1607
Persistent link: https://www.econbiz.de/10013465725
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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
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Predictable return distributions
Pedersen, Thomas Q. - In: Journal of forecasting 34 (2015) 2, pp. 114-132
Persistent link: https://www.econbiz.de/10011305289
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Yield spread selection in predicting recession probabilities
Choi, Jaehyuk; Ge, Desheng; Kang, Kyu Ho; Sohn, Sungbin - In: Journal of forecasting 42 (2023) 7, pp. 1772-1785
Persistent link: https://www.econbiz.de/10014432757
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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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Uncertainty and the predictability of stock returns
Cai, Wensheng; Pan, Zhiyuan; Wang, Yudong - In: Journal of forecasting 41 (2022) 4, pp. 765-792
Persistent link: https://www.econbiz.de/10013287857
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Monthly beta forecasting with low-, medium- and high-frequency stock returns
Cenesizoglu, Tolga; Liu, Qianqiu; Reeves, Jonathan J.; … - In: Journal of forecasting 35 (2016) 6, pp. 528-541
Persistent link: https://www.econbiz.de/10011595959
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Risk-neutral moments and return predictability : international evidence
Zhang, Junyu; Ruan, Xinfeng; Zhang, Jin E. - In: Journal of forecasting 42 (2023) 5, pp. 1086-1111
Persistent link: https://www.econbiz.de/10014338814
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Two tales of return predictability : the case of Asia-Pacific equity markets
Shynkevich, Andrei - In: Journal of forecasting 36 (2017) 3, pp. 257-272
Persistent link: https://www.econbiz.de/10011729255
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A multivariate GARCH-jump mixture model
Li, Chenxing; Maheu, John M. - In: Journal of forecasting 43 (2024) 1, pp. 182-207
Persistent link: https://www.econbiz.de/10014443194