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Forecasting value at risk (VaR) for emerging and developed markets
Naimy, Viviane; Bou Zeidan, Melissa - In: Estudios de economía aplicada : revista promovida por … 37 (2019) 3, pp. 153-174
Persistent link: https://www.econbiz.de/10012173924
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Range-based DCC models for covariance and value-at-risk forecasting
Fiszeder, Piotr; Fałdziński, Marcin; Molnár, Peter - In: Journal of empirical finance 54 (2019), pp. 58-76
Persistent link: https://www.econbiz.de/10012174846
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The signal and the noise volatilities
Chaker, Selma - In: Research in international business and finance 50 (2019), pp. 79-105
Persistent link: https://www.econbiz.de/10012177017
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A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun; Jawadi, Fredj; Li, Yuyi - In: Econometric reviews 39 (2020) 1, pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
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Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models
Jawadi, Fredj; Ftiti, Zied; Louhichi, Waël - In: Econometric reviews 39 (2020) 1, pp. 54-70
Persistent link: https://www.econbiz.de/10012181540
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Volatility forecasting : long memory, regime switching and heteroscedasticity
Ma, Feng; Lu, Xinjie; Yang, Ke; Zhang, Yaojie - In: Applied economics 51 (2019) 38, pp. 4151-4163
Persistent link: https://www.econbiz.de/10012196974
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Learning from history : volatility and financial crises
Daníelsson, Jón; Valenzuela, Marcela; Zer, Ilknur - 2018 - This version: January 2018
Persistent link: https://www.econbiz.de/10012204110
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Backtesting VaR models : the case of commodities
Shankar, Devesh; Bedi, Prateek; Agnihotri, Shalini; … - In: Business analyst : a refereed journal of Shri Ram … 38 (2017) 1, pp. 36-57
Persistent link: https://www.econbiz.de/10012212962
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Modeling and forecasting USD/UGX volatility through GARCH family models : evidence from Gaussian, T and GED distributions
Erkekoglu, Hatice; Garang, Aweng Peter Majok; Deng, … - In: International journal of economics and financial issues … 10 (2020) 2, pp. 268-281
Persistent link: https://www.econbiz.de/10012215184
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Forecasting financial returns volatility : a GARCH-SVR model
Sun, Hao; Yu, Bo - In: Computational economics 55 (2020) 2, pp. 451-471
Persistent link: https://www.econbiz.de/10012223641