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Robust value-at-risk forecasting of Karachi Stock Exchange
Iqbal, Farhat - In: Afro-Asian Journal of Finance and Accounting : AAJFA 7 (2017) 2, pp. 130-146
Persistent link: https://www.econbiz.de/10011748632
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Forecasting VaR using analytic higher moments for GARCH processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45
Persistent link: https://www.econbiz.de/10010460001
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Log-volatility enhanced GARCH models for single asset returns
Skoczylas, Tomasz - In: Bank i kredyt 46 (2015) 5, pp. 411-431
Persistent link: https://www.econbiz.de/10011387038
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Estimation of value-at-Risk on Romanian stock exchange using volatility forecasting models
Opreana, Claudiu Ilie - In: Expert journal of finance 1 (2013), pp. 4-18
Persistent link: https://www.econbiz.de/10011572395
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Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data
Meng, Xiaochun; Taylor, James W. - In: European journal of operational research : EJOR 280 (2020) 1, pp. 191-202
Persistent link: https://www.econbiz.de/10012132379
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Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar; Zevallos, Mauricio - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
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Modelling and forecasting long memory time series with exponential and switching GARCH models
Amiri, Esmail - In: International journal of monetary economics and finance 12 (2019) 5, pp. 407-425
Persistent link: https://www.econbiz.de/10012155069
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Score driven exponentially weighted moving averages and value-at-risk forecasting
Lucas, André; Zhang, Xin - 2015
volatility of individual stock returns and exchange rate returns. …
Persistent link: https://www.econbiz.de/10011332948
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Score driven exponentially weighted moving average and value-at-risk forecasting
Lucas, André; Zhang, Xin - 2014
dynamics adapts to the non-normal nature of financial data, which helps to robustify the volatility estimates. The new model … volatility forecasting of stock returns and exchange rates. …
Persistent link: https://www.econbiz.de/10010384110
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Forecasting volatility with many predictors
Ke, Tsung-han; Hu, Yu-pin - In: Journal of forecasting 32 (2013) 8, pp. 743-754
Persistent link: https://www.econbiz.de/10010344461