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Forecasting VaR and ES in emerging markets : the role of time-varying higher moments

Trung Hai Le - In: Journal of forecasting 43 (2024) 2, pp. 402-414

Persistent link: https://www.econbiz.de/10014475347

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

Value at risk (VaR) analysis for fat tails and long memory in returns

Günay, Samet - In: Eurasian economic review : a journal in applied … 7 (2017) 2, pp. 215-230

Persistent link: https://www.econbiz.de/10011684346

A multivariate GARCH-jump mixture model

Li, Chenxing; Maheu, John M. - In: Journal of forecasting 43 (2024) 1, pp. 182-207

Persistent link: https://www.econbiz.de/10014443194

Portfolio optimization under distribution uncertainty with a feature fusion of conditional skewness GARCH model

Khan, Yousaf Ali; Ahmad, Muneeb; Ahmad, Muhammad Munir - In: International journal of financial engineering 10 (2023) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10014304236

Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...

Persistent link: https://www.econbiz.de/10010226098