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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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Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda; Herrera, Rodrigo; Clements, Adam - In: International journal of forecasting 39 (2023) 2, pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
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An economic evaluation of empirical exchange rate models
Della Corte, Pasquale; Sarno, Lucio; Tsiakas, Ilias - In: The review of financial studies 22 (2009) 9, pp. 3491-3530
Persistent link: https://www.econbiz.de/10003885717
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An economic evaluation of empirical exchange rate models
Della Corte, Pasquale; Sarno, Lucio; Tsiakas, Ilias - 2007
Persistent link: https://www.econbiz.de/10003618043
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Linear predictability vs. bull and bear market models in strategic asset allocation decisions : evidence from UK data
Guidolin, Massimo; Hyde, Stuart - 2012
Most papers in the portfolio choice literature have examined linear predictability frameworks based on the idea that simple but flexible Vector Autoregressive (VAR) models can be expanded to produce portfolio allocations that hedge against the bull and bear dynamics typical of financial markets...
Persistent link: https://www.econbiz.de/10009658243
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Wendepunkte in Finanzmärkten : Prognose und asset allocation
Huber, Claus - 2000
Persistent link: https://www.econbiz.de/10001461424
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Time-varying combinations of Bayesian dynamic models and equity momentum strategies
Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016
dynamic factor and a vector autoregressive model and includes stochastic volatility, denoted by FAVAR-SV. Next, a Bayesian … momentum strategy. The estimation of this modeling and strategy approach can be done using an extended and modified version of … the forecast combination methodology of Casarin, Grassi, Ravazzolo and Van Dijk(2016). Given the complexity of the non …
Persistent link: https://www.econbiz.de/10011563065
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Does macroeconomics help in predicting stock markets volatility comovements? : a nonlinear approach
Bucci, Andrea; Palomba, Giulio; Rossi, Eduardo - 2019
Persistent link: https://www.econbiz.de/10012154493
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Why does return predictability concentrate in bad times?
Cujean, Julien; Hasler, Michael - In: The journal of finance : the journal of the American … 72 (2017) 6, pp. 2717-2758
Persistent link: https://www.econbiz.de/10012160151
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Modeling and forecasting macroeconomic downside risk
Delle Monache, Davide; De Polis, Andrea; Petrella, Ivan - 2020
Persistent link: https://www.econbiz.de/10012253930