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Tail-related risk measurement and forecasting in equity markets
Bekiros, Stelios; Loukeris, Nikolaos; Eleftheriadis, … - In: Computational economics 53 (2019) 2, pp. 783-816
Persistent link: https://www.econbiz.de/10012134868
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Does systemic risk in the fund markets predict future economic downturns?
Zhou, Dong-hai; Liu, Xiao-xing - In: International review of financial analysis 92 (2024), pp. 1-22
Persistent link: https://www.econbiz.de/10014492409
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Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets
Wang, Man; Cheng, Yihan - In: Journal of forecasting 41 (2022) 8, pp. 1595-1607
Persistent link: https://www.econbiz.de/10013465725
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One-day-ahead forecast of state of turbulence based on today's economic situation
Chlebus, Marcin - In: Equilibrium : quarterly journal of economics and … 13 (2018) 3, pp. 357-389
Persistent link: https://www.econbiz.de/10012231957
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Systemic risk measures and distribution forecasting of macroeconomic shocks
Chen, Guojin; Liu, Yanzhen; Zhang, Yu - In: International review of economics & finance : IREF 75 (2021), pp. 178-196
Persistent link: https://www.econbiz.de/10012692464
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Forecasting tail risks : presented at CESifo Area Conference on Macro, Money and International Finance, February 2015
De Nicolò, Gianni; Lucchetta, Marcella - 2015
the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …
Persistent link: https://www.econbiz.de/10010498601
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Improving risk forecasts for optimized portfolio
Menchero, Jose; Wang, Jun; Orr, D. J. - In: Financial analysts' journal : FAJ 68 (2012) 3, pp. 40-50
Persistent link: https://www.econbiz.de/10009680624
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Improving Risk Forecasts for Optimized Portfolios
Menchero, Jose - 2012
Sample covariance matrices tend to underestimate the risk of optimized portfolios. In this article, we identify special …
Persistent link: https://www.econbiz.de/10013106031
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Bayesian Risk Forecasting for Long Horizons
Borowska, Agnieszka - 2019
We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …-year-ahead. The latter has recently attracted considerable attention due to the different properties of short term risk and long run … risk. The key insight behind our importance sampling based approach is the sequential construction of marginal and …
Persistent link: https://www.econbiz.de/10012891913
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Forecasting Tail Risks
De Nicolo, Gianni - 2015
This paper presents an early warning system as a set of multi-period forecasts of indicators of tail real and financial risks obtained using a large database of monthly U.S. data for the period 1972:1-2014:12 Pseudo-real time forecasts are generated from: (a) sets of autoregressive and...
Persistent link: https://www.econbiz.de/10013012648