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Risk-parameter estimation in volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
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Backtesting global growth-at-Risk
Brownlees, Christian; Souza, André B. M. - In: Journal of monetary economics 118 (2021), pp. 312-330
Persistent link: https://www.econbiz.de/10012603779
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Value-at-risk prediction using option-implied risk measures
Schindelhauer, Kai; Chen Zhou - 2018
Persistent link: https://www.econbiz.de/10011920835
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Risk analysis using regression quantiles : evidence from international equity markets
Guo, Hongtao; Lam, Miranda S.; Wu, Guojun; Xiao, Zhijie - In: The international journal of business and finance … 7 (2013) 2, pp. 1-15
Persistent link: https://www.econbiz.de/10009675606
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FRM: a financial risk meter based on penalizing tail events occurrence
Yu, Lining; Härdle, Wolfgang; Borke, Lukas; Benschop, Thijs - 2017
In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter () of a linear quantile lasso regression. The FRM is calculated by taking the average of the penalization parameters over the 100 largest US publicly...
Persistent link: https://www.econbiz.de/10011598919
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RiskAnalytics : an R package for real time processing of Nasdaq and Yahoo finance data and parallelized quantile lasso regression methods
Borke, Lukas - 2017
In order to integrate and facilitate the research, calculation and analysis methods around the Financial Risk Meter (FRM) project, the R package RiskAnalytics has been developed. Its main goal is to provide data processing and parallelized quantile lasso regression methods for risk analysis...
Persistent link: https://www.econbiz.de/10011619517
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An AI approach to measuring financial risk
Yu, Lining; Härdle, Wolfgang; Borke, Lukas; Benschop, Thijs - In: The Singapore economic review 68 (2023) 5, pp. 1529-1549
Persistent link: https://www.econbiz.de/10014436192
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Foreign exchange interventions in Brazil and their impact on volatility : a quantile regression approach
Viola, Alessandra Pasqualina; Klotzle, Marcelo Cabus; … - In: Research in international business and finance 47 (2019), pp. 251-263
Persistent link: https://www.econbiz.de/10012135731
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On asymmetric market model with heteroskedasticity and quantile regression
Chen, Cathy W. S.; Li, Muyi; Nguyen, Nga T. H.; Songsak … - In: Computational economics 49 (2017) 1, pp. 155-174
Persistent link: https://www.econbiz.de/10011751821
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Bidirectional volatility transmission between stocks and bond in East Asia : the quantile estimates based on wavelets
Živkov, Dejan; Kovačević, Jelena; Stankov, Biljana; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 1, pp. 49-65
Persistent link: https://www.econbiz.de/10014288820