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Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach
Hallin, Marc; Trucios, Carlos - 2020
Persistent link: https://www.econbiz.de/10012437084
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Combination of multivariate volatility forecasts
Amendola, Alessandra; Storti, Giuseppe - 2009
volatility predictor, the results of an application to tactical asset allocation are presented. -- Multivariate GARCH ; forecast …
Persistent link: https://www.econbiz.de/10003796201
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Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR
Benito Muela, Sonia - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 67-80
Persistent link: https://www.econbiz.de/10011392904
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Factor high-frequency based volatility (HEAVY) models
Sheppard, Kevin; Xu, Wen - 2014
Persistent link: https://www.econbiz.de/10010365630
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Volatility timing : how best to forecast portfolio exposures
Clements, A.; Silvennoinen, A. - In: Journal of empirical finance 24 (2013), pp. 108-115
Persistent link: https://www.econbiz.de/10010371987
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The economic value of volatility timing with realized jumps
Nolte, Ingmar; Xu, Qi - In: Journal of empirical finance 34 (2015), pp. 45-59
Persistent link: https://www.econbiz.de/10011556992
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The Black-Litterman model : the definition of views based on volatility forecasts
Duqi, Andi; Franci, Leonardo; Torluccio, Giuseppe - In: Applied financial economics 24 (2014) 19/21, pp. 1285-1296
Persistent link: https://www.econbiz.de/10010460181
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Portfolio constructions with Bayesian GARCH forecasts
Polasek, Wolfgang; Momtchil, M. - In: Operations research proceedings 2000 : selected papers …, (pp. 119-126). 2001
Persistent link: https://www.econbiz.de/10001571447
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Value at Risk (VaR) models : a comparative analysis of parametric and non parametric approaches
Ajassa, Giovanni (contributor);  … - 1998
Persistent link: https://www.econbiz.de/10001435254