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Conditional Value-at-Risk : semiparametric estimation and inference

Wang, Chuan-Sheng; Zhao, Zhibiao - In: Journal of econometrics 195 (2016) 1, pp. 86-103

Persistent link: https://www.econbiz.de/10011705234

Methods for computing numerical standard errors : review and application to value-at-risk estimation

Ardia, David; Bluteau, Keven; Hoogerheide, Lennart - In: Journal of time series econometrics 10 (2018) 2, pp. 1-9

Persistent link: https://www.econbiz.de/10011898020

Identification-robust estimation and testing of the zero-beta CAPM

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: The review of economic studies 80 (2013) 3, pp. 892-924

Persistent link: https://www.econbiz.de/10010204244

On diagnostic checking of vector ARMA-GARCH models with Gaussian and Student-t innovations

Wang, Yongning; Tsay, Ruey S. - In: Econometrics : open access journal 1 (2013) 1, pp. 1-31

model checking. A residual-based bootstrap method is provided and demonstrated as an effective way to approximate the …

Persistent link: https://www.econbiz.de/10009754537

Specification tests for GARCH processes

Cavaliere, Giuseppe; Perera, Indeewara; Rahbek, Anders - 2021

Persistent link: https://www.econbiz.de/10012627489

A study on window-size selection for threshold and bootstrap value-at-risk models

Smith, Anri; Huang, Chun-Kai - In: The journal of risk model validation 13 (2019) 4, pp. 1-16

Persistent link: https://www.econbiz.de/10012373140

Improving Value-at-Risk estimation from the normal EGARCH model

Gorji, Mahsa; Sajjad, Rasoul - In: Contemporary economics 11 (2017) 1, pp. 91-106

Returns in financial assets display consistent excess kurtosis and skewness, implying the presence of large … fluctuations not forecasted by Gaussian models. This paper applies a resampling method based on the bootstrap and a bias … long and short positions. Our aim is to utilize the advantages of this model, but still use the bootstrap resampling method …

Persistent link: https://www.econbiz.de/10011632622

Skewness in energy returns : estimation, testing and implications for tail risk

Carnero, M. Angeles; León, Angel; Ñíguez, Trino-Manuel - In: The quarterly review of economics and finance : journal … 90 (2023), pp. 178-189

Persistent link: https://www.econbiz.de/10014431948

Examining the volatility of soybean market in the MIDAS framework : the importance of bagging-based weather information

Wang, Lu; Wu, Rui; Ma, WeiChun; Xu, Weiju - In: International review of financial analysis 89 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014465545

Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models

Cavaliere, Giuseppe; Bohn Nielsen, Heino; Pedersen, … - In: Journal of econometrics 227 (2022) 1, pp. 241-263

Persistent link: https://www.econbiz.de/10013441653