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Bayesian estimation for a semiparametric nonlinear volatility model
Hu, Shuowen; Poskitt, Donald Stephen; Zhang, Xibin - In: Economic modelling 98 (2021), pp. 361-370
Persistent link: https://www.econbiz.de/10012793996
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Forecasting value-at-risk of cryptocurrencies with riskmetrics type models
Liu, Wei; Semeyutin, Artur; Lau, Chi Keung; Gozgor, Giray - In: Research in international business and finance 54 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012581358
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Unconditional density vs conditional density functions in estimating value-at-risk
Chiu, Yen-Chen; Chuang, I-Yuan - In: Applied economics 53 (2021) 4, pp. 482-494
Persistent link: https://www.econbiz.de/10012416070
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Assessing tail risk for nonlinear dependence of MSCI sector indices : a copula three-stage approach
De Luca, Giovanni; Guégan, Dominique; Rivieccio, Giorgia - In: Finance research letters 30 (2019), pp. 327-333
Persistent link: https://www.econbiz.de/10012420870
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Forecasting VaR using realized EGARCH model with skewness and kurtosis
Wu, Xinyu; Xia, Michelle; Zhang, Huanming - In: Finance research letters 32 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012430736
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Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation
Bräutigam, Marcel - 2020
Persistent link: https://www.econbiz.de/10012488824
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A note on stochastic volatility model estimation
Abbara, Omar; Zevallos, Mauricio - In: Revista Brasileira de Finanças : RBFin 17 (2019) 4, pp. 22-32
Persistent link: https://www.econbiz.de/10012221531
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GARCH models in value at risk estimation : empirical evidence from the Montenegrin stock exchange
Cerovic Smolovic, Julija; Lipovina-Božović, Milena; … - In: Economic research 30 (2017) 1,1, pp. 477-498
Persistent link: https://www.econbiz.de/10012223947
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Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
Gerlach, Richard; Naimoli, Antonio; Storti, Giuseppe - In: Quantitative finance 20 (2020) 11, pp. 1849-1878
Persistent link: https://www.econbiz.de/10012295647
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Quantile forecast optimal combination to enhance safety stock estimation
Trapero, Juan R.; Cardós, Manuel; Kourentzes, Nikolaos - In: International journal of forecasting 35 (2019) 1, pp. 239-250
Persistent link: https://www.econbiz.de/10012300607