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Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

Persistent link: https://www.econbiz.de/10011431370

Evaluating density forecasts from models of stock market returns

Raaij, Gabriela de; Raunig, Burkhard - In: The European journal of finance 11 (2005) 2, pp. 151-166

Persistent link: https://www.econbiz.de/10002841826

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raaij, Gabriela de; Raunig, Burkhard - 2002

Persistent link: https://www.econbiz.de/10001657476

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

Persistent link: https://www.econbiz.de/10001650402

Value-at-risk for the long and short trading position with the pearson type-IV distribution

Stavroyiannis, Stavros; Makris, Ilias; Nikolaidis, Vasilis - In: Global business & economics review 15 (2013) 1, pp. 14-27

Persistent link: https://www.econbiz.de/10009708760

Value-at-risk for long and short trading positions : evidence from developed and emerging equity markets

Diamandis, Panayotis F.; Drakos, Anastassios A.; … - In: International review of financial analysis 20 (2011) 3, pp. 165-176

Persistent link: https://www.econbiz.de/10009295738

Value-at-risk for long and short trading positions

Giot, Pierre; Laurent, Sébastien - 2001

Persistent link: https://www.econbiz.de/10001596369

Value-at-risk for long and short trading positions

Giot, Pierre; Laurent, Sébastien - In: Journal of applied econometrics 18 (2003) 6, pp. 641-664

Persistent link: https://www.econbiz.de/10001843499

Value-at-risk for long and short trading positions

Giot, Pierre; Laurent, Sébastien - 2001

Persistent link: https://www.econbiz.de/10001590396

Modeling Risk for Long and Short Trading Positions

Angelidis, Timotheos - 2018

returns, such as leptokurtosis and asymmetric distribution, volatility clustering, asymmetric relationship between stock … accurate VaR forecasts. Especially for the high confidence levels, a risk manager must employ different volatility techniques …

Persistent link: https://www.econbiz.de/10012910132

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