Similar Search Results

The modeling and forecasting of extreme events in electricity spot markets

Herrera, Rodrigo; González, Nicolás - In: International journal of forecasting 30 (2014) 3, pp. 477-490

Persistent link: https://www.econbiz.de/10010511552

Prediction of financial downside-risk with heavy-tailed conditional distributions

Mittnik, Stefan; Paolella, Marc S. - 2003

Persistent link: https://www.econbiz.de/10001788591

Prediction of financial downside-risk with heavy-tailed conditional distributions

Mittnik, Stefan; Paolella, Marc S. - In: Handbook of heavy tailed distributions in finance, (pp. 385-404). 2003

Persistent link: https://www.econbiz.de/10001882139

Forecasting Value-at-Risk and Expected Shortfall Using Fractionally Integrated Models of Conditional Volatility : International Evidence

Degiannakis, Stavros Antonios - 2018

forecasting horizons. Therefore, a long memory volatility model compared to a short memory GARCH model does not appear to improve …

Persistent link: https://www.econbiz.de/10012910119

Market risk modeling with option-implied covariances and score-driven dynamics

Herrera, Rodrigo; Piña, Marco - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-27

Persistent link: https://www.econbiz.de/10014534822

Prediction of financial downside-risk with heavy-tailed conditional distributions

Mittnik, Stefan; Paolella, Marc S. - 2003

The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution...

Persistent link: https://www.econbiz.de/10009765347