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Forecasting stock return volatility at the quarterly frequency : an evaluation of time series approaches

Reeves, Jonathan J.; Xie, Xuan - In: Applied financial economics 24 (2014) 4/6, pp. 347-356

Persistent link: https://www.econbiz.de/10010399705

Dynamic bivariate peak over threshold model for joint tail risk dynamics of financial markets

Zhao, Zifeng - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 892-906

Persistent link: https://www.econbiz.de/10012653200

Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall

Kratz, Marie; Lok, Yen H.; McNeil, Alexander J. - In: Journal of banking & finance 88 (2018), pp. 393-407

Persistent link: https://www.econbiz.de/10011962940

lCARE: localizing conditional autoregressive expectiles

Xu, Xiu; Mihoci, Andrija; Härdle, Wolfgang - 2015

We account for time-varying parameters in the conditional expectile based value at risk (EVaR) model. EVaR appears more sensitive to the magnitude of portfolio losses compared to the quantile-based Value at Risk (QVaR), nevertheless, by fitting the models over relatively long ad-hoc fixed time...

Persistent link: https://www.econbiz.de/10011392816