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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1997
Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...
Persistent link: https://www.econbiz.de/10010533206
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Does the tail risk index matter in forecasting downside risk?
Hung, Jui-Cheng; Liu, Hung-Chun; Yang, J. Jimmy - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 3451-3466
Persistent link: https://www.econbiz.de/10014327761
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Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip - In: The journal of prediction markets 14 (2020) 1, pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
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Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro; Grønneberg, Steffen - In: Journal of financial econometrics 20 (2022) 2, pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
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Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns
Cheng, Wan-hsiu; Hung, Jui-cheng - In: Journal of empirical finance 18 (2011) 1, pp. 160-173
Persistent link: https://www.econbiz.de/10009301140
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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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Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi; Liang, Fang; Huang, Zhuo; Yan, Hong - In: Economic modelling 109 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
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Value at risk estimation for heavy tailed distributions
Gammoudi, Imed; BelKacem, Lotfi; El Ghourabi, Mohamed - In: The international journal of business and finance … 8 (2014) 3, pp. 109-125
Persistent link: https://www.econbiz.de/10010241908
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GARCH models in value at risk estimation : empirical evidence from the Montenegrin stock exchange
Cerovic Smolovic, Julija; Lipovina-Božović, Milena; … - In: Economic research 30 (2017) 1,1, pp. 477-498
Persistent link: https://www.econbiz.de/10012223947
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Is risk higher during non-trading periods? : the risk trade-off for intraday versus overnight market returns
Riedel, Christoph; Wagner, Niklas F. - In: Journal of international financial markets, … 39 (2015), pp. 53-64
Persistent link: https://www.econbiz.de/10011475596