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Efficient evaluation of multidimensional time-varying density forecasts, with applications to risk management
Polanski, Arnold; Stoja, Evarist - In: International journal of forecasting 28 (2012) 2, pp. 343-352
Persistent link: https://www.econbiz.de/10009581927
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Efficient Evaluation of Multidimensional Time-Varying Density Forecasts with an Application to Risk Management
Polanski, Arnold - 2012
only its applicability to arbitrary continuous distributions but also the evaluation of the forecast accuracy in specific …
Persistent link: https://www.econbiz.de/10013115624
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Evaluation and Combination of Conditional Quantile Forecasts
Giacomini, Raffaella; Komunjer, Ivana - 2002
'encompassing'. Our test for conditional quantile forecast encompassing (CQFE) is a test of superior predictive ability, constructed … framework provides a basis for combining quantile forecasts, when neither forecast has superior predictive ability. A central …
Persistent link: https://www.econbiz.de/10014113643
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Forecasting value-at-risk with time-varying variance, skewnessn and kurtosis in an exponential weighted moving average framework
Gabrielsen, Alexandros; Zagaglia, Paolo; Kirchner, Axel; … - 2012 - This version: June 6, 2012
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density...
Persistent link: https://www.econbiz.de/10011731521
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Modeling and Forecasting Realized Range Volatility
Caporin, Massimiliano - 2011
In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the … distribution for the innovations. The analysis of the forecast performance during the different periods suggests that including the …
Persistent link: https://www.econbiz.de/10013130487
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
forecast evaluation framework as a simple alternative to other approaches. In simulation experiments and an empirical …
Persistent link: https://www.econbiz.de/10011431370
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Forecasting value-at-risk under temporal and portfolio aggregation
Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - 2015
conditional volatilities and correlations, the distribution for the innovations and the method of forecast construction. We find … smaller. The differences from the model, distribution and forecast choices are also smaller compared to temporal aggregation. …
Persistent link: https://www.econbiz.de/10011431503
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Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
Gabrielsen, Alexandros - 2012
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density...
Persistent link: https://www.econbiz.de/10013105503
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Optimally Harnessing Inter-Day and Intra-Day Information for Daily Value-at-Risk Prediction
Fuertes, Ana-Maria - 2013
enables a Wald-type conditional quantile forecast encompassing test for any finite set of competing (semi …, fixed income and commodity trading desks. Forecast combination of both types of models is especially warranted for more …
Persistent link: https://www.econbiz.de/10013092448
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Forecasting Multidimensional Tail Risk at Short and Long Horizons
Polanski, Arnold - 2019
We define the Multidimensional Value at Risk (MVaR) as a natural generalization of VaR. This generalization makes a number of important applications possible. For example, many techniques developed for VaR can be applied to MVaR directly. As an illustration, we employ VaR forecasting and...
Persistent link: https://www.econbiz.de/10012871618