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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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Accurate risk and density prediction of asset prices
Steude, Sven Christian (contributor) - 2007
Persistent link: https://www.econbiz.de/10003640144
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Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, M. Hashem (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003641741
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Une évaluation des procédures de Backtesting : "tout va pour le mieux dans le meilleur des mondes"
Hurlin, Christophe; Tokpavi, Sessi - In: Finance : revue de l'Association Française de Finance 29 (2008) 1, pp. 53-80
Persistent link: https://www.econbiz.de/10003730239
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Realized volatility uncertainty
Allen, David E. (contributor); McAleer, Michael (contributor) - 2008
Persistent link: https://www.econbiz.de/10003760022
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Value at risk and conditional extreme value theory via Markov regime switching models
Samuel, Yau Man Ze-To - In: The journal of futures markets 28 (2008) 2, pp. 155-181
Persistent link: https://www.econbiz.de/10003647707
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Forecasting value-at-risk with a parsimonious Portfolio Spillover GARCH (PS-GARCH) model
McAleer, Michael; Da Veiga, Bernardo - In: Journal of forecasting 27 (2008) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10003738381
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Single-index and portfolio models for forecasting value-at-risk thresholds
McAleer, Michael; Da Veiga, Bernardo - In: Journal of forecasting 27 (2008) 3, pp. 217-235
Persistent link: https://www.econbiz.de/10003738590
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On variable selection for volatility forecasting : the role of focused selection criteria
Brownlees, Christian; Gallo, Giampiero M. - In: Journal of financial econometrics : official journal of … 6 (2008) 4, pp. 513-539
Persistent link: https://www.econbiz.de/10003778985
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Bayesian forecasting of value at risk and expected shortfall using adaptive importance sampling
Hoogerheide, Lennart F.; Dijk, Herman K. van - 2008
Persistent link: https://www.econbiz.de/10003774522