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Modelling the downside risk potential of mutual fund returns

Kumaran, Sunitha - In: Cogent economics & finance 10 (2022) 1, pp. 1-32

standard approaches (student-t-distribution, log normal, historical simulation) and sophisticated volatility models (EWMA …

Persistent link: https://www.econbiz.de/10013462061

Semi-parametric method for estimating tail related risk measures in the stock market

Lee, Ho Jin - In: The Korean economic review 32 (2016) 2, pp. 295-329

Persistent link: https://www.econbiz.de/10011649371

Estimating tail-risk using semiparametric conditional variance with an application to meme stocks

D'Addona, Stefano; Khanom, Najrin - In: International review of economics & finance : IREF 82 (2022), pp. 241-260

Persistent link: https://www.econbiz.de/10013543110

Variable selection and functional form uncertainty in cross-country growth regressions

Salimans, Tim - 2011

suggested by new growth theory, while addressing the variable selection problem by means of Bayesian model averaging …. Controlling for variable selection uncertainty, we confirm the evidence in favor of new growth theory presented in several earlier …

Persistent link: https://www.econbiz.de/10011382708

Non-parametric stochastic simulations to investigate uncertainty around the OECD indicator model forecasts

Rusticelli, Elena - 2012

The forecasting uncertainty around point macroeconomic forecasts is usually measured by the historical performance of the forecasting model, using measures such as root mean squared forecasting errors (RMSE). This measure, however, has the major drawback that it is constant over time and hence...

Persistent link: https://www.econbiz.de/10009690936

Forecasting crude oil volatility with geopolitical risk : do time-varying switching probabilities play a role?

Wang, Lu; Ma, Feng; Hao, Jianyang; Gao, Xinxin - In: International review of financial analysis 76 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012804675

Comments on: Nonparametric tail risk, stock returns and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016

Persistent link: https://www.econbiz.de/10011518800

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Dobrev, Dobrislav; Schaumburg, Ernst - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 388-409

Persistent link: https://www.econbiz.de/10011987513

Score-driven Markov-switching EGARCH models : an application to systematic risk analysis

Blazsek, Szabolcs; Ho, Han-Chiang; Liu, Su-Ping - In: Applied economics 50 (2018) 56, pp. 6047-6060

Persistent link: https://www.econbiz.de/10012063386

On equity risk prediction and tail spillovers

Pouliasis, Panos; Kyriakou, Ioannis; Papapostolou, Nikos - In: International journal of finance & economics : IJFE 22 (2017) 4, pp. 379-393

Persistent link: https://www.econbiz.de/10011960379

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